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dc.contributor.authorViehmann, Johannesen_US
dc.date.accessioned2010-08-13T12:19:18Z-
dc.date.available2010-08-13T12:19:18Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/38742-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseriesEWI workingpaper 09,01en_US
dc.subject.jelL94en_US
dc.subject.jelN74en_US
dc.subject.jelQ41en_US
dc.subject.ddc330en_US
dc.subject.keywordElectricity tradingen_US
dc.subject.keywordRisk premiumen_US
dc.subject.keywordEEXen_US
dc.subject.stwElektrizitäten_US
dc.subject.stwRohstoff-Futuresen_US
dc.subject.stwStromtarifen_US
dc.subject.stwRisikoprämieen_US
dc.subject.stwDeutschlanden_US
dc.titleRisk premiums in the German day-ahead electricity marketen_US
dc.typeWorking Paperen_US
dc.identifier.ppn605916551en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
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