Analysis of the Iberian Power Forward Price Formation

Capitán Herráiz, Álvaro and Rodríguez Monroy, Carlos (2013). Analysis of the Iberian Power Forward Price Formation. "IEEE Transactions on Power Systems", v. 28 (n. 3); pp. 2942-2949. ISSN 0885-8950. https://doi.org/10.1109/TPWRS.2012.2235469.

Description

Title: Analysis of the Iberian Power Forward Price Formation
Author/s:
  • Capitán Herráiz, Álvaro
  • Rodríguez Monroy, Carlos
Item Type: Article
Título de Revista/Publicación: IEEE Transactions on Power Systems
Date: January 2013
ISSN: 0885-8950
Volume: 28
Subjects:
Freetext Keywords: Business, energy management, finance, power industry.
Faculty: E.T.S.I. Industriales (UPM)
Department: Ingeniería de Organización, Administración de Empresas y Estadística
Creative Commons Licenses: Recognition - No derivative works - Non commercial

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Abstract

The price formation of the Iberian Energy Derivatives Market-the power futures market-starting in July 2006, is assessed until November 2011, through the evolution of the difference between forward and spot prices in the delivery period (“ex-post forward risk premium”) and the comparison with the forward generation costs from natural gas (“clean spark spread”). The premium tends to be positive in all existing mechanisms (futures, Over-the-Counter and auctions for catering part of the last resort supplies). Since year 2011, the values are smaller due to regulatorily recognized prices for coal power plants. The power futures are strongly correlated with European gas prices. The spreads built with prompt contracts tend also to be positive. The biggest ones are for the month contract, followed by the quarter contract and then by the year contract. Therefore, gas fired generation companies can maximize profits trading with contracts of shorter maturity.

More information

Item ID: 28931
DC Identifier: http://oa.upm.es/28931/
OAI Identifier: oai:oa.upm.es:28931
DOI: 10.1109/TPWRS.2012.2235469
Official URL: http://ieeexplore.ieee.org/xpl/articleDetails.jsp?reload=true&tp=&arnumber=6423236&queryText%3DAnalysis+of+the+Iberian+Power+Forward+Price+Formation
Deposited by: Memoria Investigacion
Deposited on: 26 Feb 2015 17:13
Last Modified: 02 Mar 2015 17:02
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