Alberta's electricity futures market: An empirical analysis of price formation
研究了阿尔伯塔省电力期货市场，发现期货价格不能无偏预测现货价格，但能有效反映新信息，对理解电力市场设计和风险管理有参考价值。
Alberta operates an energy-only electricity market, which allows the unilateral exercise of market power to create investment incentives and resolve the ‘missing money’ problem. This stands in contrast to other jurisdictions that have implemented administratively complex capacity markets to ensure adequate supply. A key feature of Alberta's market is its futures market, where contracts that settle against realized spot prices are exchanged. The futures market enables market participants to hedge against price volatility. It informs investment decision, enhances price transparency and aids in competitive price formation by diminishing the incentive to exercise market power in the spot market. Our empirical work explores Alberta's electricity futures market in two main areas: the relationship between futures and realized spot prices, and the evolution of futures prices influenced by expected spot market conditions. We find that (i) electricity futures prices do not provide an unbiased forecast of spot prices, (ii) a portion of the realized futures premium can be explained by information that is obtained after the futures price has been set, and (iii) futures prices appear to efficiently reflect changes in available information. • Alberta operates an energy-only electricity market, with a futures market. • Electricity futures hedge volatility, enhance transparency, and reduce market power. • Electricity futures prices are weak and biased predictors of spot prices. • Natural gas futures are significantly better predictors of spot prices. • Futures prices appear to efficiently reflect changes in available information.