Evaluation of the trading development in the Iberian Energy Derivatives Market

Capitán Herráiz, Álvaro y Rodríguez Monroy, Carlos (2012). Evaluation of the trading development in the Iberian Energy Derivatives Market. "Energy Policy", v. 51 ; pp. 973-984. ISSN 0301-4215. https://doi.org/10.1016/j.enpol.2012.08.056.

Descripción

Título: Evaluation of the trading development in the Iberian Energy Derivatives Market
Autor/es:
  • Capitán Herráiz, Álvaro
  • Rodríguez Monroy, Carlos
Tipo de Documento: Artículo
Título de Revista/Publicación: Energy Policy
Fecha: Diciembre 2012
Volumen: 51
Materias:
Palabras Clave Informales: Energy regulation; Power futures; Market supervisión
Escuela: E.T.S.I. Industriales (UPM)
Departamento: Ingeniería de Organización, Administración de Empresas y Estadística
Licencias Creative Commons: Reconocimiento - Sin obra derivada - No comercial

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Resumen

The efficiency of the Iberian Energy Derivatives Market in its first five and a half years is assessed in terms of volume, open interest and price. The continuous market shows steady liquidity growth. Its volume is strongly correlated to that of the Over The Counter (OTC) market, the amount of market makers, the enrolment of financial agents and generation companies belonging to the integrated group of last resort suppliers, and the OTC cleared volume in its clearing house. The hedging efficiency, measured through the ratio between the final open interest and the cleared volume, shows the lowest values for the Spanish base load futures as they are the most liquid contracts. The ex-post forward risk premium has diminished due to the learning curve and the effect of the fixed price retributing the indigenous coal fired generation. This market is quite less developed than the European leaders headquartered in Norway and Germany. Enrolment of more traders, mainly international energy companies, financial agents, energy intensive industries and renewable generation companies is desired. Market monitoring reports by the market operator providing post-trade transparency, OTC data access by the energy regulator, and assessment of the regulatory risk can contribute to efficiency gains.

Más información

ID de Registro: 15542
Identificador DC: http://oa.upm.es/15542/
Identificador OAI: oai:oa.upm.es:15542
Identificador DOI: 10.1016/j.enpol.2012.08.056
URL Oficial: http://www.sciencedirect.com/science/article/pii/S0301421512007380
Depositado por: Memoria Investigacion
Depositado el: 08 Jul 2013 09:28
Ultima Modificación: 01 Ene 2015 23:56
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