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Analysis of the price efficiency in the Iberian power forward contracting mechanisms

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2 Author(s)
Herráiz, A.C. ; Madrid Technol. Univ. (UPM), Madrid, Spain ; Monroy, C.R.

Price efficiency is analysed for diverse forward contracting mechanisms within the Iberian Electricity Market (the so-called “MIBEL”). Those mechanisms are the call auctions organised by OMIP (the market operator of the MIBEL Derivatives Market) and the OMIP continuous market, the auctions catering for the last resort supplies (commonly known as CESUR auctions) and the Spanish Virtual Power Plant auctions (VPP, also known as EPE). Price efficiency is measured through the ex-post Forward Risk Premium, as the difference between the forward price and the realised spot value during the delivery period of the forward instrument. The data embraces forward and spot prices from July 3, 2006 (start of OMIP futures market) until the end of February 2010. Differences are found amongst the premia of the diverse forward contracting mechanisms, providing arbitrage opportunities. Large positive premia are observed since 2009 due to price uncertainty and low spot prices.

Published in:

Energy Market (EEM), 2010 7th International Conference on the European

Date of Conference:

23-25 June 2010

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