Modeling long-term electricity contracts at EEX

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F11%3A10100428" target="_blank" >RIV/00216208:11230/11:10100428 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Modeling long-term electricity contracts at EEX

Popis výsledku v původním jazyce

The main aim of this paper is to develop and calibrate an econometric model for modeling prices of long term electricity future contracts. The calibration of our model is performed on data from EEX AG allowing us to capture the specific features of German electricity market. The data sample contains several structural breaks, which have to be taken into account for modeling. We model the data with an ARIMAX model which reveals high correlation between the price of electricity futures contracts (namely Phelix Base Futures with next year's delivery) and prices of long-term futures contracts of fuels (namely coal, natural gas and crude oil). Besides this, also a share price index of representative electricity companies traded on Xetra, spread between 10Yand 1Y German bonds and exchange rate between EUR and USD appeared to have significant explanatory power over these futures contracts on EEX.

Název v anglickém jazyce

Modeling long-term electricity contracts at EEX

Popis výsledku anglicky

The main aim of this paper is to develop and calibrate an econometric model for modeling prices of long term electricity future contracts. The calibration of our model is performed on data from EEX AG allowing us to capture the specific features of German electricity market. The data sample contains several structural breaks, which have to be taken into account for modeling. We model the data with an ARIMAX model which reveals high correlation between the price of electricity futures contracts (namely Phelix Base Futures with next year's delivery) and prices of long-term futures contracts of fuels (namely coal, natural gas and crude oil). Besides this, also a share price index of representative electricity companies traded on Xetra, spread between 10Yand 1Y German bonds and exchange rate between EUR and USD appeared to have significant explanatory power over these futures contracts on EEX.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GAP403%2F10%2F1235" target="_blank" >GAP403/10/1235: Institucionální reakce na selhání finančních trhů</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2011

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Economics, Management, and Financial Markets

ISSN

1842-3191

e-ISSN

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Svazek periodika

6

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

10

Strana od-do

893-902

Kód UT WoS článku

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EID výsledku v databázi Scopus

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