Rational Expectations in Electricity Futures Markets? Empirical Insights from the Interaction between EEX Spot and Forward Prices
نویسنده
چکیده
Non-storability of a commodity implies the independence of corresponding spot and futures prices. We investigate empirically the case of electricity and show that a relation does emerge between spots and forwards. This is because of the links in storable fuels used for production and behavioural biases in power trading. The latter cause a significant influence of the electricity spot price on the futures price. We observe that futures pricing is a compound function of rational (fuel and carbon prices, wind feed-in and demand) and behavioural (electricity prices) components. The results question the predictive power of forwards and, hence, market efficiency. The interaction between spot and futures prices entails the spillover of spot market power effects unfolding market monitoring issues.
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