电力市场中的违约供应拍卖：挑战与建议
Default Supply Auctions in Electricity Markets: Challenges and Proposals
摘要：
本文研究了违约供应拍卖中中标者获得的溢价，以及拍卖前后电力衍生品市场中的投机和套期保值行为。数据包括2007年至2013年的56个拍卖价格，西班牙OMEL电力市场的CESUR拍卖价格，以及新泽西州PJM市场的基本发电服务拍卖价格（PJM-BGS）。中标者获得的平均事后年远期溢价为7%（CESUR）和38%（PJM-BGS）。使用期货价格指数的溢价为1.08%（CESUR）和24%（PJM-BGS）。远期贴水与投标者数量和现货价格波动率负相关。在CESUR，电力衍生品市场中对冲驱动的交易在拍卖日左右占主导地位，但在PJM-BGS，投机驱动的交易占主导地位。
英文摘要：
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.
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