Title: Dynamic relationship between electricity futures price and spot price based on panel data model
Abstract: The electric power futures market is a sort of very important financial market in the power market. As a market form of high-class, the electricity futures market has been widely adopted by the developed countries due to its special running mechanism, price discovery and function of risk avoiding. It is important to research the characteristic and rule of electric power futures market and the dynamic relation between electrical futures prices and spot prices. Primarily using the model and the method in the econometrics, this paper studies the dynamic relationship between futures price and spot price by panel unit roots test, panel cointegration test, panel error correction model and panel Granger causality test with the data of Nordic electricity market and American PJM electricity market.The results of this paper show that the linear combination of futures price and spot price has balance convergence trends in the long-term. There is a long-term equilibrium relationship between futures price and spot price. Futures price and spot price have interaction and mutual influence, but futures price is in the dominant position.
Publication Year: 2009
Publication Date: 2009-01-01
Language: en
Type: article
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Cited By Count: 1
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