Risk premiums in the German day-ahead electricity market

Arbeitspapier

This paper conducts an empirical analysis of risk premiums in the German day-ahead Electricity Wholesale Market. We compare hourly price data of the European Energy Exchange (EEX) auction and of the continuous over-the-counter (OTC) market taking place prior to EEX. As OTC price data are not publicly available, data provided by the Energy Exchange Austria (EXAA) have been used as a snapshot of the OTC market. It has been found that market participants are willing to pay both, positive and negative premiums for hourly contracts that are significantly different from zero. The largest positive premiums were paid for evening peak hours on weekdays during winter months, the period of time with the highest electricity consumption levels of the year. By contrast, night hours on weekends featuring lowest demand levels display negative premiums. Hence, findings by Longstaff and Wang (2004) can be supported that power traders in liberalised markets behave like riskaverse rational economic agents.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: EWI Working Paper ; No. 09,01

Classification and Topics

• Classification: Wirtschaft ; Electric Utilities ; Economic History: Transport, Trade, Energy, Technology, and Other Services: Europe: 1913- ; Energy: Demand and Supply; Prices
• Subject: Electricity trading ; Risk premium ; EEX ; Elektrizität ; Rohstoff-Futures ; Stromtarif ; Risikoprämie ; Deutschland

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Viehmann, Johannes
• Event: Veröffentlichung
• (who): Institute of Energy Economics at the University of Cologne (EWI)
• (where): Köln
• (when): 2009

Further information

• Handle: http://hdl.handle.net/10419/38742
• Last update: 10.03.2025, 11:44 AM CET