Observatorio de I+D+i UPM

Memorias de investigación
Capítulo de libro:
Analysis of the Iberian Power Futures Market Hedging Efficiency
Año:2011
Áreas de investigación
  • Ingenierías,
  • Economía
Datos
Descripción
Capitán Herráiz and Rodríguez Monroy (2009) provide a description of the evolution of the Iberian power futures market managed by OMIP, located in Lisbon (Portugal), during its first two years of existence. That research focus on the assessment of the ex-post forward risk premia (i.e. the difference between the futures prices and the underlying average spot prices for the corresponding delivery period). OMIP forward risk premia are remarkable, specially at the beginning of this market, limiting its price efficiency. The current research enlarges the data set (from the start of that market on July 3, 2006, to February 28, 2011) in order to identify the main drivers behind the growing evolution of OMIP continuous market. An analysis of the evolution of the traded volumes in OMIP versus the auctions for catering the last resort supplies (the so-called ?CESUR? auctions, in Spanish ?Contratos de Energía para el Suministro de Último Recurso?) and the dominant OTC (?Over The Counter?) market is provided. A regression model using Ordinary Least Square methodology intends to assess the effect of the drivers for a key liquidity measure: the evolution of the open interest related to the open positions cleared and settled by OMIP clearing house (OMIClear). This analysis serves to determine if this market is performing properly according to its original role as key hedging vehicle (hedging efficiency).
Internacional
Si
DOI
Edición del Libro
1
Editorial del Libro
ADINGOR
ISBN
978-84-694-7124-1
Serie
Título del Libro
INGENIERÍA INDUSTRIAL: REDES INNOVADORAS
Desde página
259
Hasta página
265
Esta actividad pertenece a memorias de investigación
Participantes
  • Autor: Carlos Rodriguez Monroy (UPM)
  • Autor: Alvaro Capitan Herraiz (UPM)
Grupos de investigación, Departamentos, Centros e Institutos de I+D+i relacionados
  • Creador: Grupo de Investigación: Ingeniería de la Calidad Alimentaria
  • Departamento: Ingeniería de Organización, Administración de Empresas y Estadística
S2i 2022 Observatorio de investigación @ UPM con la colaboración del Consejo Social UPM
Cofinanciación del MINECO en el marco del Programa INNCIDE 2011 (OTR-2011-0236)
Cofinanciación del MINECO en el marco del Programa INNPACTO (IPT-020000-2010-22)