文章基本信息
- 标题：Pricing Forward Contracts in Power Markets by the Certainty Equivalence Principle: explaining the sign of the market risk premium
- 本地全文：下载
- 作者：Fred Espen Benth ; Álvaro Cartea ; Rüdiger Kiesel 等
- 期刊名称：Birkbeck Working Papers in Economics and Finance / School of Economics, Mathematics and Statistics, Birkbeck College
- 印刷版ISSN：1745-8587
- 出版年度：2006
- 卷号：2006
- 出版社：London University
- 摘要：Inthispaperweprovideaframeworkthatexplainshowthemarketriskpremium,
de?nedasthedi?erencebetweenforwardpricesandspotforecasts,dependsonthe
riskpreferencesofmarketplayersandtheinteractionbetweenbuyersandsellers.
Incommoditiesmarketsthispremiumisanimportantindicatorofthebehaviorof
buyersandsellersandtheirviewsonthemarketspanningbetweenshort-termand
long-termhorizons.Weshowthatundercertainassumptions itispossibletoderive
explicitsolutionsthatlinklevelsofriskaversionandmarketpowerwithmarketprices
ofriskandthemarketriskpremium.WeapplyourmodeltotheGermanelectricity
marketandshowthatthemarketriskpremiumexhibitsatermstructurewhichcan
beexplainedbythecombinationoftwofactors.Firstly,the levelsofriskaversion
ofbuyersandsellers,andsecondly,howthemarketpowerofproducers,relativeto
thatofbuyers,a?ectsforwardpriceswithdi?erentdeliveryperiods.
- 关键词：Contango,backwardation,marketpriceofrisk,electricityforwards,mar-
ketriskpremium,forwardriskpremium,forwardbias,marketpower.
