The Forward Premium in the Nord Pool Power Market

References

• Amundsen, E. S., and L. Bergman. 2006. Why has the Nordic electricity market worked so well? Utilities Policy 14 (3):148–57. doi:10.1016/j.jup.2006.01.001.
   Google Scholar
• Bašta, M., and K. Helman. 2013. Scale-specific importance of weather variables for explanation of variations of electricity consumption: The case of Prague, Czech Republic. Energy Economics 40:503–14. doi:10.1016/j.eneco.2013.07.023.
   Web of Science ®Google Scholar
• Benth, F. E., Á. Cartea, and R. Kiesel. 2008. Pricing forward contracts in power markets by the certainty equivalence principle: Explaining the sign of the market risk premium. Journal of Banking & Finance 32 (10):2006–21.
   Web of Science ®Google Scholar
• Bessembinder, H., and M. L. Lemmon. 2002. Equilibrium pricing and optimal hedging in electricity forward markets. The Journal of Finance 57 (3):1347–82. doi:10.1111/1540-6261.00463.
   Web of Science ®Google Scholar
• Botterud, A., A. D. Bhattacharyya, and M. D. Ilic (2002). Futures and spot prices - an analysis of the Scandinavian electricity market. Proceedings of the 34th Annual North American Power Symposium, Tempe, AZ, October 13–15.
   Google Scholar
• Botterud, A., T. Kristiansen, and M. D. Ilic. 2010. The relationship between spot and futures prices in the Nord Pool electricity market. Energy Economics 32 (5):967–78. doi:10.1016/j.eneco.2009.11.009.
   Web of Science ®Google Scholar
• Cartea, Á., and P. Villaplana. 2008. Spot price modeling and the valuation of electricity forward contracts: The role of demand and capacity. Journal of Banking & Finance 32 (12):2502–19. doi:10.1016/j.jbankfin.2008.04.006.
   Web of Science ®Google Scholar
• Dickey, D. A., and W. A. Fuller. 1979. Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association 74 (366a):427–31.
   Google Scholar
• Do, L. P. C., K.-H. Lin, and P. Molnár. 2016. Electricity consumption modelling: A case of Germany. Economic Modelling 55:92–101. doi:10.1016/j.econmod.2016.02.010.
   Web of Science ®Google Scholar
• Fama, E. F., and K. R. French. 1987. Commodity futures prices: Some evidence on forecast power, premiums, and the theory of storage. Journal of Business pages 55–73. doi:10.1086/296385.
   Google Scholar
• Fridolfsson, S.-O., and T. P. Tangerås. 2009. Market power in the Nordic electricity wholesale market: A survey of the empirical evidence. Energy Policy 37 (9):3681–92. doi:10.1016/j.enpol.2009.04.036.
   Web of Science ®Google Scholar
• Gjolberg, O., and T.-L. Brattested. 2011. The biased short-term futures price at Nord Pool: Can it really be a risk premium. The Journal of Energy Markets 4:1. doi:10.21314/JEM.2011.053.
   Google Scholar
• Gjolberg, O., and T. Johnsen (2001). Electricity futures: Inventories and price relation- ships at Nord Pool. Discussion paper. Norwegian School of Economics and Business Administration-Department of Finance and Management Science.
   Google Scholar
• Haugom, E., G. A. Hoff, M. Mortensen, P. Molnár, and S. Westgaard. 2014. The forecasting power of medium-term futures contracts. Journal of Energy Markets 7 (4):1–23. doi:10.21314/JEM.2014.108.
   Google Scholar
• Haugom, E., and C. J. Ullrich. 2012. Market efficiency and risk premia in short-term forward prices. Energy Economics. doi:10.1016/j.eneco.2012.08.003.
   Web of Science ®Google Scholar
• Hjalmarsson, E. (2000). Nord Pool: A power market without market power. Rapport nr.: Working Papers in Economics, (28).
   Google Scholar
• Longstaff, F. A., and A. W. Wang. 2004. Electricity forward prices: A high-frequency empirical analysis. The Journal of Finance 59 (4):1877–900. doi:10.1111/j.1540-6261.2004.00682.x.
   Web of Science ®Google Scholar
• Lucia, J. J., and E. S. Schwartz. 2002. Electricity prices and power derivatives: Evidence from the Nordic power exchange. Review of Derivatives Research 5 (1):5–50. doi:10.1023/A:1013846631785.
   Google Scholar
• Lucia, J. J., and H. Torró. 2011. On the risk premium in Nordic electricity futures prices. International Review of Economics & Finance 20 (4):750–63. doi:10.1016/j.iref.2011.02.005.
   Web of Science ®Google Scholar
• Mork, E. 2006. The dynamics of risk premiums in Nord Pool’s futures market. Energy Studies Review 14 (1):8. doi:10.15173/esr.v14i1.485.
   Google Scholar
• Newey, W. K., and K. D. West. 1987. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Biometrika 55 (3):703–8.
   Google Scholar
• Norges Bank (2013). Norges Bank exchange rates. Accessed November 20, 2013. http://www.norges-bank.no/en/price-stability/exchange-rates.
   Google Scholar
• Phillips, P. C., and P. Perron. 1988. Testing for a unit root in time series regression. Biometrika 75 (2):335–46. doi:10.1093/biomet/75.2.335.
   Web of Science ®Google Scholar
• Redl, C., and D. W. Bunn. 2013. Determinants of the premium in forward contracts. Journal of Regulatory Economics 43 (1):90–111. doi:10.1007/s11149-012-9202-7.
   Web of Science ®Google Scholar
• Redl, C., R. Haas, C. Huber, and B. Böhm. 2009. Price formation in electricity forward markets and the relevance of systematic forecast errors. Energy Economics 31 (3):356–64. doi:10.1016/j.eneco.2008.12.001.
   Web of Science ®Google Scholar
• Stan, R. (2012). The relation between futures and spot prices in the Nordic electricity market: The theory of storage. http://ssrn.com/abstract=2140036.
   Google Scholar
• Veka, S. (2013). Additional evidence on the forward premium in the Nordic electricity market. Working paper. Lillehammer, Norway: Lillehammer University College.
   Google Scholar
• Weron, R. 2006. Modeling and forecasting electricity loads and prices: A statistical approach. Chichester, UK: John Wiley & Sons.
   Google Scholar
• Weron, R. 2008. Market price of risk implied by Asian-style electricity options and futures. Energy Economics 30 (3):1098–115. doi:10.1016/j.eneco.2007.05.004.
   Web of Science ®Google Scholar
• Weron, R., and A. Misiorek. 2008. Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models. International Journal of Forecasting 24 (4):744–63. doi:10.1016/j.ijforecast.2008.08.004.
   Web of Science ®Google Scholar
• Weron, R., and M. Zator. 2014. Revisiting the relationship between spot and futures prices in the nord pool electricity market. Energy Economics 44:178–90. doi:10.1016/j.eneco.2014.03.007.
   Web of Science ®Google Scholar