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首页> 外文期刊>OPEC energy review >Long-term relationships between electricity and oil, gas and coal future prices-evidence from Nordic countries,Continental Europe and the United Kingdom
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Long-term relationships between electricity and oil, gas and coal future prices-evidence from Nordic countries,Continental Europe and the United Kingdom

机译：电力与石油，天然气和煤炭未来价格之间的长期关系-来自北欧国家，欧洲大陆和英国的证据

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摘要

This paper investigates the relationship between futures prices of electricity, on the one hand and crude oil, natural gas and coal on the other hand, in the United Kingdom, German and Nordic energy markets. Energy traders and market participants use statistical models in their trading activities. We seek to establish robust cointegration based models as decision tools for energy commodity spread trading. We look at three different markets with different input mixtures, for electricity generation. Using daily futures data from period 2006 to 2012, we find cointegration between UK electricity prices and Coal and Gas, and between Nordic electricity prices and Coal. The spread between German electricity prices and Gas, Oil and Coal prices are also stationary. The consequence of this finding could be a possible trading strategy which involves buying electricity futures and selling gas or coal when the spread is above the mean and reversing the strategy when the spread is below the mean. The suggested strategy assumes a reversion to the mean, which we show takes some time, as displayed by the slow speed of adjustment.
机译：本文研究了英国，德国和北欧能源市场中一方面的电力期货价格与另一方面的原油，天然气和煤炭之间的关系。能源贸易商和市场参与者在其交易活动中使用统计模型。我们寻求建立基于稳健的基于协整的模型作为能源商品价差交易的决策工具。我们着眼于三个不同的市场，它们具有不同的混合投入物，用于发电。使用2006年至2012年期间的每日期货数据，我们发现英国电价与煤炭和天然气之间以及北欧电价与煤炭之间的协整。德国电价与天然气，石油和煤炭价格之间的价差也是固定的。该发现的结果可能是一种可能的交易策略，其中涉及当价差高于均值时购买电力期货并出售天然气或煤炭，而当价差低于均值时则反转策略。建议的策略假定恢复到均值，我们显示需要一些时间，如调整速度较慢所显示。

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  • 来源
    《OPEC energy review》 |2014年第2期|216-242|共27页
  • 作者

    Stein Frydenberg; Joseph I. Onochie; Sjur Westgaard; Nora Midtsund; Hanna Ueland;

  • 作者单位

    Trondheim Business School, Jonsvannsveien 82, 7004 Trondheim, Norway;

    Bert Wasserman Department of Economics and Finance, Zicklin School of Business, Baruch College, City University of New York, 1 Bernard Baruch Way, New York, NY 10010, USA;

    Department of Industrial Economics and Technology Management, Norwegian University of Science and Technology, Alfred Getz vei 1, 7491 Trondheim, Norway;

    Research Assistant, Norwegian University of Science and Technology, Trondheim, Norway;

    Research Assistant, Norwegian University of Science and Technology, Trondheim, Norway;

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