论文标题
电力市场的默认供应拍卖：挑战和建议
Default Supply Auctions in Electricity Markets: Challenges and Proposals
论文作者
论文摘要
本文研究了通过在违约供应拍卖中赢得投标人以及在拍卖附近日期的电力衍生品市场中的投标和对冲活动而获得的。数据包括从2007年到2013年的56个拍卖价格，西班牙俄亥俄州电力市场的Cesur，以及新泽西州PJM市场的基本一代服务拍卖（PJM-BGS）的价格。获胜的竞标者的平均年度为7％（Cesur）和38％（PJM-BGS）的平均年度前远期溢价。使用期货价格指数的溢价为1.08％（Cesur）和24％（PJM-BG）。事后前进保费与投标人的数量和现货价格波动率负相关。在Cesur中，电力衍生品市场中以对冲驱动的贸易统治拍卖日期，但在PJM-BGS中，猜测驱动的交易占盛行。
This paper studies premiums got by winning bidders in default supply auctions, and speculation and hedging activities in power derivatives markets in dates near auctions. Data includes fifty-six auction prices from 2007 to 2013, those of CESUR in the Spanish OMEL electricity market, and those of Basic Generation Service auctions (PJM-BGS) in New Jersey's PJM market. Winning bidders got an average ex-post yearly forward premium of 7% (CESUR) and 38% (PJM-BGS). The premium using an index of futures prices is 1.08% (CESUR) and 24% (PJM-BGS). Ex-post forward premium is negatively related to the number of bidders and spot price volatility. In CESUR, hedging-driven trading in power derivatives markets predominates around auction dates, but in PJM-BGS, speculation-driven trading prevails.
