Renewable Energy and Equilibrium Hedging in Electricity Forward Markets
研究了可再生能源发电的不确定性如何影响电力远期市场的对冲行为和远期溢价，发现可再生能源的随机产出能降低发电企业的收入风险，从而减少对冲需求并推高远期价格。
We study the impact of renewable energy on forward markets for electricity. Previous literature shows that forward prices are determined by time-varying demand and volatile spot prices. We introduce supply risk from renewable generation and find that stochastic renewable output mitigates income risk for generating firms, in particular when negative shocks to renewable output have large positive price impact. This risk off-setting effect leads to reduced hedging needs for generating companies and increases the forward premium. Using five years of high-frequency spot and futures market data, we confirm our model empirically. In sum, our findings suggest that intermittent renewable generation changes firm’s hedging incentives and has significant impact on forward prices for electricity.