EconStor >
Universität zu Köln >
Energiewirtschaftliches Institut (EWI), Universität Köln >
EWI-Arbeitspapiere, Energiewirtschaftliches Institut, Universität Köln >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/38742
  
Title:Risk premiums in the German day-ahead electricity market PDF Logo
Authors:Viehmann, Johannes
Issue Date:2009
Series/Report no.:EWI workingpaper 09,01
Abstract:This paper conducts an empirical analysis of risk premiums in the German day-ahead Electricity Wholesale Market. We compare hourly price data of the European Energy Exchange (EEX) auction and of the continuous over-the-counter (OTC) market taking place prior to EEX. As OTC price data are not publicly available, data provided by the Energy Exchange Austria (EXAA) have been used as a snapshot of the OTC market. It has been found that market participants are willing to pay both, positive and negative premiums for hourly contracts that are significantly different from zero. The largest positive premiums were paid for evening peak hours on weekdays during winter months, the period of time with the highest electricity consumption levels of the year. By contrast, night hours on weekends featuring lowest demand levels display negative premiums. Hence, findings by Longstaff and Wang (2004) can be supported that power traders in liberalised markets behave like riskaverse rational economic agents.
Subjects:Electricity trading
Risk premium
EEX
JEL:L94
N74
Q41
Document Type:Working Paper
Appears in Collections:EWI-Arbeitspapiere, Energiewirtschaftliches Institut, Universität Köln

Files in This Item:
File Description SizeFormat
605916551.pdf305.05 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/38742

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.