Formulae for Spot Price and Forward Curve in Wholesale Electricity Markets

This paper examines the factors that determine the equilibrium spot and forward prices in a wholesale electricity market. In order to investigate this issue, we focus on two characteristics of electricity : the rule of non-storability and the balancing rule, which is simultaneous equal quantities of demand and supply. The Bessembinder and Lemmon model (the BL model) certainly considers these characteristics in order for determining the equilibrium spot and forward prices. Next, we generalize the BL model in order to analyze the electricity market consisting of power producing firms with different cost functions in a multi-period model, and we draw the equilibrium spot and forward electricity price formulae. Furthermore, we reveal that in certain cases, the division of a firm leads to a higher average spot price and causes several more spikes in the spot price process.

Research papers E

AA10825291

37

1

21

2005-03

英語

紀要論文

紀要論文

publisher