Electricity Forward Prices: A High‐Frequency Empirical Analysis
利用PJM电力市场的高频数据，分析小时级现货与日前远期价格，发现远期价格存在显著风险溢价，且该溢价随日内时段变化，与需求波动、现货价格和总收入等经济风险因素直接相关。
ABSTRACT We conduct an empirical analysis of forward prices in the PJM electricity market using a high‐frequency data set of hourly spot and day‐ahead forward prices. We find that there are significant risk premia in electricity forward prices. These premia vary systematically throughout the day and are directly related to economic risk factors, such as the volatility of unexpected changes in demand, spot prices, and total revenues. These results support the hypothesis that electricity forward prices in the Pennsylvania, New Jersey, and Maryland market are determined rationally by risk‐averse economic agents.