Modelling long-term electricity contracts at EEX

Robert Flasza; Milan Rippel; Jan Šolc

The main aim of this paper is to develop and calibrate an econometric model for modelling prices of long term electricity futures contracts. The calibration of our model is performed on data from EEX AG allowing us to capture the specific features of German electricity market. The data sample contains several structural breaks which have to be taken into account for modelling. We model the data with an ARIMAX model which reveals high correlation between the price of electricity futures contracts (namely Phelix Base Fututes with next year's delivery) and prices of long-term futures contracts of fuels (namely coal, natural gas and crude oil). Besides this, also a share price index of representative electricity companies traded on Xetra, spread between 10Y and 1Y German bonds and exchange rate between EUR and USD appeared to have significant explanatory power over these futures contracts on EEX. -- electricity futures ; EEX ; ARIMAX ; emission allowances

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Year of publication:	2011
Authors:	Flasza, Robert ; Rippel, Milan ; Šolc, Jan
Publisher:	Prague : Institute of Economic Studies, Faculty of Social Sciences, Charles University of Prague
Subject:	Energiehandel \| Energy trade \| Futures \| Modellierung \| Scientific modelling \| Strukturbruch \| Structural break \| Deutschland \| Germany

Extent:	Online-Ressource (PDF-Datei: 13 S., 258,24 KB) graph. Darst.
Series:	IES working paper. - Praha : [Verlag nicht ermittelbar], ZDB-ID 2408568-6. - Vol. 8/2011
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	hdl:10419/83374 [Handle]
Classification:	C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; G13 - Contingent Pricing; Futures Pricing ; O13 - Agriculture; Natural Resources; Energy; Environment; Other Primary Products
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10008902958