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dc.contributor.authorHaugom, Erik
dc.contributor.authorMolnar, Peter
dc.contributor.authorTysdahl, Magne Ødegaard
dc.date.accessioned2021-01-21T09:14:34Z
dc.date.available2021-01-21T09:14:34Z
dc.date.created2020-07-01T14:40:09Z
dc.date.issued2020
dc.identifier.citationEnergies. 2020, 13 (5), .en_US
dc.identifier.issn1996-1073
dc.identifier.urihttps://hdl.handle.net/11250/2724053
dc.description.abstractNord Pool is the leading power market in Europe. It has been documented that the forward contracts traded in this market exhibit a significant forward premium, which could be a sign of market inefficiency. Efficient power markets are important, especially when there is a goal to increase the share of the power mix stemming from renewable energy sources. We therefore contribute to the understanding of this topic by examining how the forward premium in the Nord Pool market depend on several economic and physical conditions. We utilise two methods: ordinary least squares and quantile regression. The results show that the reservoir level and the basis (the difference between the forward and spot price) have a significant impact on the forward premium. The realised volatility of futures prices and the implied volatility of the stock market have strong effects on both the conditional lower and upper tails of the forward premium. We also find that, as the market has matured, the forward premium has decreased, indicating an increase in market efficiency.en_US
dc.language.isoengen_US
dc.rightsNavngivelse 4.0 Internasjonal*
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/deed.no*
dc.titleDeterminants of the forward premium in the Nord pool electricity marketen_US
dc.typePeer revieweden_US
dc.typeJournal articleen_US
dc.description.versionpublishedVersionen_US
dc.source.volume13en_US
dc.source.journalEnergiesen_US
dc.source.issue5en_US
dc.identifier.doi10.3390/en13051111
dc.identifier.cristin1818125
cristin.ispublishedtrue
cristin.fulltextoriginal
cristin.qualitycode1


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