Market efficiency and risk premia in short-term forward prices

被引：30

作者：

Haugom, Erik ^{[1
,2
]}

Ullrich, Carl J. ^{[3
]}

机构：

[1] Lillehammer Univ Coll, NO-2624 Lillehammer, Norway

[2] Norwegian Univ Sci & Technol, NO-7491 Trondheim, Norway

[3] Virginia Tech, Coll Business, Dept Finance Insurance & Business Law, Blacksburg, VA 24061 USA

来源：

ENERGY ECONOMICS | 2012年 / 34卷 / 06期

关键词：

Market efficiency; Unbiased forward rate hypothesis; Joint hypothesis problem; Forward prices; Electricity markets; FUTURES PRICES; ELECTRICITY; EQUILIBRIUM; STORAGE;

D O I：

10.1016/j.eneco.2012.08.003

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Using recursive estimation and rolling windows over extended sample periods we examine the time-varying relationship between spot and short-term forward prices in the Pennsylvania-New Jersey-Maryland (PJM) wholesale electricity market. We examine theoretical models of forward risk premia in electricity markets and show that recent data do not provide support for existing models. The results indicate that short-term forward prices have converged towards unbiased predictors of the subsequent spot prices. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：1931 / 1941

页数：11

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