Three Essays on Electricity Spot and Financial Derivative Prices at the Nordic Power Exchange

摘要: Essay I examines the market efficiency issues at Nord Pool power exchange in September 1995 – July 2002 period. A unique characteristic of this electricity is high hydropower proportion traded electricity; water hydro reservoir acting as inventory therefore plays an important role pricing electricity. Inventory holding and seasonality both supply demand generate interand intra-year autocorrelation prices. present a theoretical discussion on why price persistence invalidates applicability concept based random walk theory. To lend support for argument, conduct empirical investigation consisting various unit roots cointegration methods to tackle data problems/properties, results show that weekly spot futures prices are cointegrated. Philips-Loretan’s nonlinear least square applied testing restriction coefficient according hypothesis. The Wald statistic shows vector being (1, -1) not binding. Residual using Ljung-Box Qstatistic confirms serial correlation. These findings consistent with prediction. II models context which has considerable supply. Since storable producer perspective system uniform all sources supply, rational expectation competitive commodity storage model characterize futures/forward validated. further nonlinearity between content inventory. perform BDS test (a nonlinearity), Hsieh’s third-order moment discriminates different types nonlinearities) causality portray relationship short/long maturities contracts. Empirical evidence nonlinearly connected via variance changes, detection varies change from short long. provide strong credibility arbitrage argument certain case verify existence non-arbitrage condition. III investigates convenience yield behavior given traded. Several hypotheses tested concerning determinants reveal 1) negative inventory, 2) can be statistically explained within standard financial call option framework component explain large portion variability yield, 3) yearly monthly basis, 4) there asymmetry volatility during high/low periods. Keyword: Pool, efficiency, cointegration, model, test, third order causality, EGARCH, option. Daniel Deng, Center Finance, Department Economics, Goteborg University, SE-40530 Goteborg, Sweden. Tel: +46-31-7734178 Email: Daniel.Deng@handels.gu.se