Topic
Spot contract
About: Spot contract is a research topic. Over the lifetime, 3437 publications have been published within this topic receiving 91599 citations.
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TL;DR: In this paper, the null of a constant risk premium against an alternative where the risk premium changes with regimes is tested, where the reduced form equations for the spot rate and the net supply of foreign assets are derived from a portfolio model and a flow equation for the current account.
28 citations
TL;DR: In this paper, the extent of market integration in the physically interconnected regional markets was examined based on daily electricity spot prices. But the results from the pairwise unit root tests, cointegration analysis and a time varying coefficient model suggest that full market integration has not been achieved yet.
Abstract: The National Electricity Market was established in 1998 as a response to the
overall liberalization and restructuring of the Australian electricity sector. The
wholesale market integration effects of this establishment, however, remain to be
systematically examined. We use econometric techniques based on pairwise unit
root tests, cointegration analysis and a time varying coefficient model to study
the extent of market integration in the physically interconnected regional markets
based on daily electricity spot prices. The results from the pairwise unit root tests
provide mixed evidence of price convergence while cointegration analysis does
not reject the absence of persistent price differences across the physically interconnected regions. The results from the time-varying filtered coefficient model
suggest that full market integration has not been achieved yet. We empirically
show the presence of significant network losses and constraints across the interregional interconnectors in the NEM. Our findings suggest that convergence in
generation and network ownership, coupled with harmonisation of network regulation and regulatory institutional framework, will be increasingly important factors in improving wholesale market integration across all energy-only markets as
they experience an increase in the share of renewable energy.
28 citations
TL;DR: In this article, the benefits of forward contracting for goods and services have been extensively researched in terms of mitigating market power effects in spot markets, and the risk in spot price formation induces a counteracting premium in the contract prices.
Abstract: Whilst the benefits of forward contracting for goods and services have been extensively researched in terms of mitigating market power effects in spot markets, we analyse how the risk in spot price formation induces a counteracting premium in the contract prices. We consider and test a wide-ranging set of propositions, involving fundamental, behavioural, dynamic, market conduct and shock components, on a long data set from the most liquid of European electricity forward markets, the EEX. We show that part of what is conventionally regarded as the market price of risk in electricity is actually that of its underlying fuel commodity, gas; that market power has a double effect on prices, insofar as it increases spot prices and induces a forward premium; that oil price sentiment spills over and that the premium reacts to scarcity and the higher moments of spot price uncertainty. We observe that considerations of the scale and determinants of the forward premium are at least as important as the market power effects in spot market price formation when evaluating the efficiency of wholesale power trading.
28 citations
Patent•
26 Sep 2003
TL;DR: In this paper, a method of monetizing a contract to supply a commodity from a supplier to a recipient is disclosed, which includes transferring the contract to a first entity and revising the contract such that the first entity may provide the commodity to the recipient from sources other than specified in the contract.
Abstract: A method of monetizing a contract to supply a commodity from a supplier to a recipient is disclosed. According to one embodiment, the method includes transferring the contract to a first entity and revising the contract such that the first entity may provide the commodity to the recipient from sources other than specified in the contract. The method further includes establishing a second contract to supply the commodity from the second entity to the first entity, wherein the price of the commodity in the second contract is less than the price of the commodity in the revised first contract. In addition, the method includes guaranteeing, by a third-party guarantor, payment obligations of the first entity to the recipient arising out of the revised first contract and/or payment obligations of the second entity to the first entity arising out of the second contract. Additionally, the method includes offering debt securities from the first entity and paying, from the first entity to the supplier, proceeds from the offering for transfer of the contract to the first entity. Further, the method may include sufficiently funding a reserve account of the first entity to include funds to cover the debt service on the debt securities for a predetermined time period.
28 citations
TL;DR: In this paper, the authors investigated the appropriateness of using a threshold cointegrated model of the natural gas markets as the basis for hedging and forecasting, and found that the threshold model is more appropriate for longer contract length and that threshold model does not offer much improvement in hedging or forecasting efficiency.
28 citations