AI 中文总结
本文研究欧洲长期输电权（LTTRs）与电力远期市场的互动，通过面板回归发现LTTR持有者可利用期权定价理论锁定套利利润，获得系统性租金，反映监管干预低效。
AI 中文摘要
长期输电权（LTTRs）旨在支持欧洲互联电力市场的套期保值。历史上LTTR拍卖价格低于远期市场价格，这表明套利空间有限。本文研究输电权与远期市场的相互作用：期权定价理论预测，LTTR持有者会在进口市场持有远期空头头寸，在出口市场持有远期多头头寸以锁定套利利润。实证方面，通过对2018至2025年间交易的EEX期货合约进行面板回归，发现LTTR拍卖后德国电力远期市场存在相应的价格效应。这表明LTTR持有者可获得系统性租金，说明监管干预低效，存在从消费者向LTTR持有者的转移。
英文摘要
Long-term transmission rights (LTTRs) are designed to support hedging in interconnected European electricity markets. LTTR auction prices have historically fallen short of forward market prices, signaling limited arbitrage. This paper studies the interaction of transmission rights and forward markets. Option pricing theory predicts that LTTR holders take short forward positions in importing markets and long forward positions in exporting markets to lock in arbitrage profits. Empirically, I find a corresponding price effect in the German electricity forward market immediately after LTTR auctions, using panel regression on EEX futures contracts traded between 2018 and 2025. This shows that LTTR holders can achieve systematic rents, indicating an inefficient regulatory intervention and a transfer from consumers to LTTR holders.
