Date: 2016
Type: Working Paper
Forward premia in electricity markets with fixed and flexible retail rates : replication and extension
Working Paper, EUI RSCAS, 2016/24
VAN KOTEN, Silvester, Forward premia in electricity markets with fixed and flexible retail rates : replication and extension, EUI RSCAS, 2016/24 - https://hdl.handle.net/1814/40924
Retrieved from Cadmus, EUI Research Repository
Bessembinder and Lemmon (2002) analyze forward premia in electricity markets when retail rates are fixed. I run both established and new simulations to replicate their findings for fixed tariffs and extend their analysis to flexible tariffs. Two of their four main predictions for fixed tariffs cannot be replicated, and their proposed regression, used in many empirical studies, seems not capable of reliably capturing the underlying relationships. Their predictions can mostly be extended to the case of flexible rates. The results of this study indicate that empirical studies should explicate if their data concern fixed or flexible rates and adjust their predictions accordingly.
Cadmus permanent link: https://hdl.handle.net/1814/40924
ISSN: 1028-3625
Series/Number: EUI RSCAS; 2016/24