Storage and the electricity forward premium

Energy Economics

Volumn 30, Issue 4, 2008, Pages 1712-1727

  Douglas, Stratford ^a   Popova, Julia ^a  

^a WEST VIRGINIA UNIVERSITY   (United States)

Author keywords

Electricity price; Forward contract; Gas storage; Natural gas

Indexed keywords

ELECTRIC INDUSTRY; ELECTRIC POWER DISTRIBUTION; GAS FUEL STORAGE; MATHEMATICAL MODELS; NATURAL GAS;

ELECTRICITY PRICE; FORWARD CONTRACT; SPACE-HEATING DEMAND;

ELECTRICITY;

COMMODITY PRICE; EMPIRICAL ANALYSIS; GAS STORAGE; INVENTORY; MODELING; NATURAL GAS; PREDICTION;

EID: 43449109161     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2007.12.013     Document Type: Article

References (15)

1. Bessembinder H., and Lemmon M. Equilibrium pricing and optimal hedging in electricity forward markets. Journal of Finance 57 3 (2002) 1347-1382
2. Borenstein S., Busse M., and Kellogg R. Security of Supply and Forward Price Premia: Evidence from the Natural Gas Industry. Working paper (2007), University of California. http://imio.haas.berkeley.edu/borenstein-busse-kellog030107-app.pdf (Avaiable at http://imio.haas.berkeley.edu/borenstein-busse-kellog030107-app.pdf, February)
3. Engel R.F., Granger C.W.J., Rice J., and Weiss A. Semiparametric estimates of the relationship between weather and electricity. Journal of the American Statistical Association 81 394 (1986) 310-320
4. Energy Information Administration (EIA). The Basics of Underground Natural Gas Storage (2004). http://www.eia.doe.gov (last updated August 2004, available at http://www.eia.doe.gov)
5. Energy Information Administration (EIA). Annual Energy Review 2006 (2007). http://www.eia.doe.gov (Report No. DOE/EIA-0384, updated June 27, 2007, available at http://www.eia.doe.gov)
6. Energy Information Administration (EIA). About Natural Gas Pipelines - Transporting Natural Gas (2007). http://www.eia.doe.gov (June, available at http://www.eia.doe.gov)
7. Fay D., Ringwood J., Condon M., and Kelly M. 24-hour electrical load data - a sequential or parallel time series?. Neurocomputing 55 (2003) 469-498 (October)
8. Kaldor N. Speculation and economic stability. Review of Economic Studies 7 (1939) 1-27
9. Longstaff F.A., and Wang A.W. Electricity forward prices: a high-frequency empirical analysis. Journal of Finance 59 4 (2004) 1877-1901
10. National Petroleum Council (NPC). Balancing Natural Gas Policy: Fueling the Demands of a Growing Economy (2003), NPC Committee on Natural Gas. http://www.npc.org/reports/ng.html (report requested by US Secretary of Energy. http://www.npc.org/reports/ng.html)
11. Ramanathan R., Engel R., Granger C.W.J., and Araghi F.V. Short-run forecast of electricity load and peaks. International Journal of Forecasting 13 (1997) 161-174
12. Routledge S., Seppi D.J., and Spatt C.S. Equilibrium forward curves for commodities. Journal of Finance 55 (2000) 1297-1338
13. Routledge S., Seppi D.J., and Spatt C.S. The "Spark Spread": An Equilibrium Model of Cross-Commodity Price Relationship in Electricity (2001), Carnegie Mellon University Working paper
14. Ullrich C.J. Constrained Capacity and Equilibrium Forward Premia in Electricity Markets. Working Paper (2006), Pennsylvania State University. http://ssrn.com/abstract=923082 (Available at SSRN: http://ssrn.com/abstract=923082)
15. Working H. Theory of the inverse carrying charge in futures markets. Journal of Farm Economics 30 (1948) 1-28