Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/38742 
Kompletter Metadatensatz
DublinCore-FeldWertSprache
dc.contributor.authorViehmann, Johannesen
dc.date.accessioned2010-08-13T12:19:18Z-
dc.date.available2010-08-13T12:19:18Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aInstitute of Energy Economics at the University of Cologne (EWI) |cKölnen
dc.relation.ispartofseries|aEWI Working Paper |x09,01en
dc.subject.jelL94en
dc.subject.jelN74en
dc.subject.jelQ41en
dc.subject.ddc330en
dc.subject.keywordElectricity tradingen
dc.subject.keywordRisk premiumen
dc.subject.keywordEEXen
dc.subject.stwElektrizitäten
dc.subject.stwRohstoff-Futuresen
dc.subject.stwStromtarifen
dc.subject.stwRisikoprämieen
dc.subject.stwDeutschlanden
dc.titleRisk premiums in the German day-ahead electricity market-
dc.type|aWorking Paperen
dc.identifier.ppn605916551en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

Datei(en):
Datei
Größe
305.05 kB





Publikationen in EconStor sind urheberrechtlich geschützt.