Information in Electricity Forward Prices
研究了电力市场中不可存储性如何影响现货价格波动，发现远期与现货价差能预测现货价格变化和风险溢价，对电力生产商和零售商的风险管理有参考价值。
We examine forward prices in a market where nonstorable inventory exacerbates the influence of seasonal and hourly variation in supply and demand, expected and unexpected, on the level and volatility of spot prices. We find strong evidence, unusual for a commodity, that the difference between contemporaneous forward and spot prices has power to forecast both the spot price change and the risk premium realized at delivery. Our evidence of a time-varying risk premium is consistent with expected hourly and seasonal variation in the needs of producers and retailers of electricity to hedge against extreme spot price decreases and increases, respectively.