摘要
电力期货市场是电力市场中一种重要的金融衍生市场,作为一种高级的电力市场交易形态具有独特的运行机制和特有的价格发现与规避风险的功能,己被许多发达国家广泛采用。所以研究电力期货市场的特点和规律、期货价格与现货价格的动态关系有着重要的意义。该文借助计量经济学中最新的方法,利用美国PJM电力市场和北欧电力市场的数据,通过面板单位根检验、面板协整检验以及面板误差修正模型和Granger因果检验的方法研究了电力期货价格与现货价格的动态关系。研究结果说明就长期而言期货电价和现货电价的线性组合有向均衡收敛的趋势,它们之间存在着长期均衡的关系,期货与现货价格相互作用、相互影响,但期货价格处于主导地位。
The electric power futures market is a sort of very important financial market in the power market. As a market form of high-class, the electricity futures market has been widely adopted by the developed countries due to its special running mechanism, price discovery and function of risk avoiding. It is important to research the characteristic and rule of electric power futures market and the dynamic relation between electrical futures prices and spot prices. Primarily using the model and the method in the econometrics, this paper studies the dynamic relationship between futures price and spot price by panel unit roots test, panel cointegration test, panel error correction model and panel Granger causality test with the data of Nordic electricity market and American PJM electricity market.The results of this paper show that the linear combination of futures price and spot price has balance convergence trends in the long-term. There is a long-term equilibrium relationship between futures price and spot price. Futures price and spot price have interaction and mutual influence, but futures price is in the dominant position.
出处
《电力系统保护与控制》
EI
CSCD
北大核心
2009年第12期1-5,共5页
Power System Protection and Control
基金
国家自然科学基金资助项目(70601003)~~
