Storage and the electricity forward premium

被引：40

作者：

Douglas, Stratford ^{[1
]}

Popova, Julia ^{[1
]}

机构：

[1] W Virginia Univ, Dept Econ, Morgantown, WV 26506 USA

来源：

ENERGY ECONOMICS | 2008年 / 30卷 / 04期

关键词：

electricity price; natural gas; forward contract; gas storage;

D O I：

10.1016/j.eneco.2007.12.013

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We develop and test a model describing the influence of natural gas storage inventories on the electricity forward premium. The model is constructed by linking the effect of gas storage constraints on the higher moments of the distribution of electricity prices to an established model of the effect of those moments on the forward premium. The model predicts a sharply negative effect of gas storage inventories on the electricity forward premium when demand for electricity is high and space-heating demand for gas is low. Empirical results, based on PJM data, strongly support the model. (c) 2008 Elsevier B. V. All rights reserved.

引用

页码：1712 / 1727

页数：16

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