全球智库信息集成服务系统(G2TT): Can Financial Participants Improve Price Discovery and Efficiency in Multi-Settlement Markets with Trading Costs?

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w25851
来源ID	Working Paper 25851
	Can Financial Participants Improve Price Discovery and Efficiency in Multi-Settlement Markets with Trading Costs?
	Akshaya Jha; Frank A. Wolak
发表日期	2019-05-20
出版年	2019
语种	英语
摘要	The introduction of purely financial participants into commodity markets is thought to yield forward prices that better reflect future spot prices, and ultimately, more efficient future production and consumption decisions. However, there are sizable transaction costs associated with trading in most commodity markets. This paper develops a statistical test of the null hypothesis that expected forward/spot price spreads cannot be arbitraged even after accounting for these transactions costs. We apply this test to hourly, location-specific day-ahead and real-time prices from California's wholesale electricity market. The implied trading cost required to reject the null hypothesis of no profitable arbitrage opportunities falls significantly after California allowed purely financial participation. Moreover, variable input costs per MWh of electricity produced fell by 3.6% in high demand hours after the introduction of purely financial participants. Combined, our evidence supports the hypothesis that the introduction of purely financial participants into the California wholesale electricity market decreased the average difference and the volatility of the difference between day-ahead and real-time prices, which ultimately lowered the total variable cost of serving demand
主题	Financial Economics ; Financial Markets ; Environmental and Resource Economics ; Energy
URL	https://www.nber.org/papers/w25851
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/583524
推荐引用方式 GB/T 7714	Akshaya Jha,Frank A. Wolak. Can Financial Participants Improve Price Discovery and Efficiency in Multi-Settlement Markets with Trading Costs?. 2019.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w25851.pdf（803KB）	智库出版物		限制开放	CC BY-NC-SA	浏览