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http://hdl.handle.net/1893/22019| Appears in Collections: | Economics Journal Articles |
| Peer Review Status: | Refereed |
| Title: | Electricity Futures Prices in an Emissions Constrained Economy: Evidence from European Power Markets |
| Author(s): | Daskalakis, George Symeonidis, Lazaros Markellos, Raphael |
| Contact Email: | lazaros.symeonidis@stir.ac.uk |
| Keywords: | Electricity futures Futures pricing Risk premium Economic drivers emission allowances |
| Issue Date: | Jul-2015 |
| Date Deposited: | 10-Jul-2015 |
| Citation: | Daskalakis G, Symeonidis L & Markellos R (2015) Electricity Futures Prices in an Emissions Constrained Economy: Evidence from European Power Markets. Energy Journal, 36 (3), pp. 1-33. https://doi.org/10.5547/01956574.36.3.gdas |
| Abstract: | We investigate the economic factors that drive electricity risk premia in the European emissions constrained economy. Our analysis is undertaken for monthly baseload electricity futures for delivery in the Nordic, French and British power markets. We find that electricity risk premia are significantly related to the volatility of electricity spot prices, demand and revenues, and the price volatility of the carbon dioxide (CO2) futures traded under the EU Emissions Trading Scheme (EU ETS). This finding has significant implications for the pricing of electricity futures since it highlights for the first time the role of carbon market uncertainties as a main determinant of the relationship between spot and futures electricity prices in Europe. Our results also suggest that for the electricity markets under scrutiny futures prices are determined rationally by risk-averse economic agents. |
| DOI Link: | 10.5547/01956574.36.3.gdas |
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| Licence URL(s): | http://www.rioxx.net/licenses/under-embargo-all-rights-reserved |
| File | Description | Size | Format | |
|---|---|---|---|---|
| Dakalakis et al_Energy Journal_2015.pdf | Fulltext - Published Version | 15.37 MB | Adobe PDF | Under Embargo until 3000-01-01 Request a copy |
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