Title :
Hedging with futures contracts in a deregulated electricity industry
Author :
Tanlapco, Eva ; Lawarrée, Jacques ; Liu, Chen-Ching
Author_Institution :
Dept. of Econ., Washington Univ., Seattle, WA, USA
fDate :
8/1/2002 12:00:00 AM
Abstract :
This paper is a statistical study of direct and cross hedging strategies using futures contracts in an electricity market. A comparison of the strategies is based on the standard deviation or risk of the values of the hedging positions. Results indicate that the use of electricity futures contracts is superior to using other related futures contracts such as crude oil.
Keywords :
contracts; electricity supply industry; risk management; statistical analysis; cross hedging strategies; crude oil; direct hedging strategies; electricity futures contracts; electricity market; futures contracts; risk management; statistical study; Electricity supply industry; Electricity supply industry deregulation; Fluctuations; Forward contracts; Helium; Load forecasting; Natural gas; Petroleum; Regulators; Risk management;
Journal_Title :
Power Systems, IEEE Transactions on
DOI :
10.1109/TPWRS.2002.800897
