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
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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.