NDLI: Modeling Long-Term Electricity Forward Prices

Content Provider	IEEE Xplore Digital Library
Author	Povh, M. Fleten, S.-E.
Copyright Year	1969
Abstract	In contrast to forwards and futures on storable commodities, prices of long-term electricity forwards exhibit a dynamics different to that of short-term and midterm prices. We model long-term electricity forward prices through demand and supply of electricity, adjusted with a risk premium. Long-term prices of electricity, oil, coal, natural gas, emission allowance, imported electricity, and aluminum are modeled with a vector autoregressive model (VAR). For estimation, we use weekly prices of far-maturity forwards relevant for the Nordic electricity market. Although electricity prices experienced a few substantial shocks during the period we analyzed, there is no evidence of a structural break. Cointegration analysis reveals two stationary long-run relationships between all variables except the gas price, indicating that these variables move together over time. We find some influence of the risk premium, however not on the long-term electricity forwards at Nord Pool.
Sponsorship	IEEE Power Engineering Society
Starting Page	1649
Ending Page	1656
Page Count	8
File Size	384313
File Format	PDF
ISSN	08858950
Volume Number	24
Issue Number	4
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2009-11-01
Publisher Place	U.S.A.
Access Restriction	One Nation One Subscription (ONOS)
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Forward contracts Production Natural gas Reactive power Electricity supply industry Cost accounting Investments Extrapolation Supply and demand Power system modeling vector autoregressive (VAR) modeling Cointegration electricity prices long-term forward prices
Content Type	Text
Resource Type	Article
Subject	Energy Engineering and Power Technology Electrical and Electronic Engineering

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1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
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9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

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