Published July 2008 | Version v1
Journal article Metadata-only

Storage and the electricity forward premium

Creators

  • 1. West Virginia University Department of Economics PO Box 6025, Morgantown, WV 26506-6025 (United States)

Description

We develop and test a model describing the influence of natural gas storage inventories on the electricity forward premium. The model is constructed by linking the effect of gas storage constraints on the higher moments of the distribution of electricity prices to an established model of the effect of those moments on the forward premium. The model predicts a sharply negative effect of gas storage inventories on the electricity forward premium when demand for electricity is high and space-heating demand for gas is low. Empirical results, based on PJM data, strongly support the model. (author)

Availability note (English)

Available from Available from: http://dx.doi.org/10.1016/j.eneco.2007.12.013

Additional details

Identifiers

DOI
10.1016/j.eneco.2007.12.013;

Publishing Information

Journal Title
Energy Economics
Journal Volume
30
Journal Issue
4
Journal Page Range
p. 1712-1727
ISSN
0140-9883
CODEN
EECODR

INIS

Country of Publication
United Kingdom
Country of Input or Organization
United Kingdom
INIS RN
39094187
Subject category
S03: NATURAL GAS;
Descriptors DEI
ELECTRIC POWER; MATHEMATICAL MODELS; NATURAL GAS; PRICES; SPACE HEATING; STORAGE
Descriptors DEC
ENERGY SOURCES; FLUIDS; FOSSIL FUELS; FUEL GAS; FUELS; GAS FUELS; GASES; HEATING; POWER

Optional Information

Notes
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