Print Email Facebook Twitter Determinants of forward risk premium: An empirical analysis of the Spanish electricity market Title Determinants of forward risk premium: An empirical analysis of the Spanish electricity market Author Liu, S. Contributor Espeja, E. (mentor) Belén, A. (mentor) Faculty Technology, Policy and Management Department Faculty of Technology, Policy and Management Programme Erasmus Mundus Joint Master in Economics and Management of Network Industries (EMIN), 2013-2015 Date 2015-08-20 Abstract This thesis contributed to the literature analyzing the functioning of deregulated wholesale electricity markets. In particular, it focused on the empirical analysis of ex-post forward risk premium in the Spanish electricity market. It aimed to investigate the risk drivers behind the forward risk premium, and therefore to gain insights about forward price formation as well as the functioning of forward markets. In this study, future prices for monthly base-load future contracts settled on the last trading day covering delivering time from January 2010 to March 2015 in OMIP, and monthly average spot prices from OMIE were used to calculate the ex-post forward risk premium. A comprehensive multifactor propositional framework was proposed so as to discover the determinants of forward risk premium. It included fundamental influences, behavioural effects, dynamic effects, market hedging, speculative activities and liquidity, regulatory instruments, and shock effects. In addition an econometric model based regression analysis was used to quantify the influence of these determinants on forward risk premium. To summarize, we found significant positive forward risk premium in the Spanish forward markets. The regression results suggested that market agents follow adaptive expectation formation rather than rational expectation. Moreover, the risk premium is positively influenced by regulated auctions, margin shocks, spot price volatility, and negatively influenced by basis. Subject electricity marketsspot and forward pricesprice formationrisk premiumOMIE & OMIP To reference this document use: http://resolver.tudelft.nl/uuid:1b8f60d1-d490-4030-a9d9-329d2075c9ac Part of collection Student theses Document type master thesis Rights (c) 2015 Liu, S. Files PDF Erasmus_Mundus_EMIN_maste ... e_Liu_.pdf 1.56 MB Close viewer /islandora/object/uuid:1b8f60d1-d490-4030-a9d9-329d2075c9ac/datastream/OBJ/view