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Volatility in electricity derivative markets: the Samuelson effect revisited

hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorJaeck, Édouard*
hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorLautier, Delphine*
dc.date.accessioned2017-03-13T12:30:16Z
dc.date.available2017-03-13T12:30:16Z
dc.date.issued2016
dc.identifier.issn0140-9883
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/16333
dc.language.isoenen
dc.subjectSamuelson effecten
dc.subjectCommodity futuresen
dc.subjectEnergy derivative marketsen
dc.subjectElectricity,Volatility spilloversen
dc.subjectIndirect storabilityen
dc.subjectC22en
dc.subjectG13en
dc.subjectG15en
dc.subjectQ41en
dc.subject.ddc658.8en
dc.subject.classificationjelQ.Q4.Q41en
dc.subject.classificationjelG.G1.G15en
dc.subject.classificationjelG.G1.G13en
dc.subject.classificationjelC.C.C22en
dc.titleVolatility in electricity derivative markets: the Samuelson effect revisiteden
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis article proposes an empirical study of the Samuelson effect in electricity markets. Our motivations are twofold. First, although the literature largely assesses the decreasing pattern in the volatilities along the price curve in commodity markets, it has not extensively tested the presence of such a dynamic feature in electricity prices. Second, the analysis of a non-storable commodity enriches the literature on the behavior of commodity prices. Indeed, it has been sometimes asserted that the Samuelson effect results from the presence of inventories. We examine the four most important electricity futures markets worldwide for the period from 2008 to 2014: the German, Nordic, Australian, and US markets. We also use the American crude oil market as a benchmark for a storable commodity negotiated on a mature futures market. Our analysis has two steps: i) in addition to the traditional tests, we propose and test a new empirical implication of the Samuelson effect: price shocks should spread from the physical market to the paper market, and not the reverse; ii) based on the concept of “indirect storability”, we investigate the link between the Samuelson effect and the storability of the commodity. We find evidence of a Samuelson effect in all of the electricity markets and show that storage is not a necessary condition for such an effect to appear. These results should be taken into account for the understanding of the dynamic behavior of commodity prices, for the valuation of electricity assets, and for hedging operations.en
dc.relation.isversionofjnlnameEnergy Economics
dc.relation.isversionofjnlvol59en
dc.relation.isversionofjnldate2016
dc.relation.isversionofjnlpages300-313en
dc.relation.isversionofdoi10.1016/j.eneco.2016.08.009en
dc.relation.isversionofjnlpublisherIPC Science and Technology Pressen
dc.subject.ddclabelMarketingen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2017-03-13T12:22:54Z
hal.identifierhal-01488127*
hal.version1*
hal.update.actionupdateMetadata*
hal.author.functionaut
hal.author.functionaut


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