2022/02/03 by Juan Ignacio Peña, Peña, Juan Ignacio, Rosa Rodriguez +2
Business, Management and Accounting · Decision Sciences · Economics, Econometrics and Finance · Engineering · #Auction Theory and Applications #Electric Power System Optimization #FOS: Economics and business #General Economics (econ.GN) #Transport and Economic Policies #econ.GN #q-fin.EC
paper · pdf · doi:10.48550/arxiv.2202.01743
arxiv created 2022/02/03 · openalex publication_date 2022/02/03 · arxiv updated 2022/02/04 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.