Please use this identifier to cite or link to this item: 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
Authors: 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
Publisher: International Association for Energy Economics
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.
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.
Type: Journal Article
URI: http://hdl.handle.net/1893/22019
DOI Link: http://dx.doi.org/10.5547/01956574.36.3.gdas
Rights: The publisher does not allow this work to be made publicly available in this Repository. Please use the Request a Copy feature at the foot of the Repository record to request a copy directly from the author. You can only request a copy if you wish to use this work for your own research or private study.
Affiliation: University of East Anglia
Accounting and Finance
University of East Anglia

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