Publication detail

Modelling Long-Term Electricity Contracts at EEX

Author(s): Mgr. Jan Šolc , Robert Flasza
Type: IES Working Papers
Year: 2011
Number: 8
ISSN / ISBN:
Published in: IES Working Papers 8/2011
Publishing place: Prague
Keywords: electricity futures, EEX, ARIMAX, emission allowances
JEL codes: C32,C53,G13,O13
Suggested Citation: Flasza, R., Rippel, M., Šolc, J. (2011). “Modelling Long-Term Electricity Contracts at EEX” IES Working Paper 8/2011. IES FSV. Charles University.
Grants: GACR 403/10/1235 (2010-2014) Institutional Responses to Financial Market Failures GAUK - 31610 Alternative methods of stress testings for operational risk management
Abstract: The main aim of this paper is to develop and calibrate an econometric model for modelling prices of long term electricity futures contracts. The calibration of our model is performed on data from EEX AG allowing us to capture the specific features of German electricity market. The data sample contains several structural breaks which have to be taken into account for modelling. We model the data with an ARIMAX model which reveals high correlation between the price of electricity futures contracts (namely Phelix Base Fututes with next year´s delivery) and prices of long-term futures contracts of fuels (namely coal, natural gas and crude oil). Besides this, also a share price index of representative electricity companies traded on Xetra, spread between 10Y and 1Y German bonds and exchange rate between EUR and USD appeared to have significant explanatory power over these futures contracts on EEX.
Downloadable: WP 2011_08_Flasza, Rippel, Solc

Partners

Deloitte

Sponsors

CRIF
McKinsey
Patria Finance
Česká Spořitelna
EY