scholarly journals Energy Market Prices in Times of COVID-19: The Case of Electricity and Natural Gas in Spain

Energies ◽  
2021 ◽  
Vol 14 (6) ◽  
pp. 1632
Author(s):  
Luis M. Abadie
Keyword(s):  
Natural Gas ◽  
Probability Distributions ◽  
Energy Market ◽  
Strong Impact ◽  
Electricity Prices ◽  
Market Prices ◽  
Spanish Society ◽  
Spot Prices ◽  
Natural Gas Prices ◽  
Almost All

The COVID-19 pandemic is having a strong impact on the economies of all countries, negatively affecting almost all sectors. This paper compares Spanish electricity and natural gas prices in the first half-year of 2020 with the prices expected for that period at the end of 2019. The half-year of 2020 selected coincides with the period of greatest impact of COVID-19 on Spanish society. Expected prices and their future probability distributions are calculated using a stochastic model with deterministic and stochastic parts; the stochastic part includes mean-reverting and jumps behaviour. The model is calibrated with 2016–2019 daily spot prices for electricity and with day-ahead prices for natural gas. The results show large monthly differences between the prices expected at the end of the year 2019 and the actual prices for the half-year; in May 2020, wholesale electricity prices are found to be EUR 31.60/MWh lower than expected, i.e., 60% lower. In the case of natural gas, the prices in the same month are EUR 8.96/MWh lower than expected, i.e., 62% lower. The spark spread (SS) is positive but lower than expected and also lower than in the same months of the previous year.

scholarly journals Examination of the Spillover Effects among Natural Gas and Wholesale Electricity Markets Using Their Futures with Different Maturities and Spot Prices

Energies ◽  
2020 ◽  
Vol 13 (7) ◽  
pp. 1533
Author(s):  
Tadahiro Nakajima ◽  
Yuki Toyoshima
Keyword(s):  
Natural Gas ◽  
Electricity Markets ◽  
Futures Markets ◽  
Spillover Effects ◽  
Futures Market ◽  
Spot Markets ◽  
Electricity Prices ◽  
Spot Prices ◽  
Natural Gas Prices ◽  
Gas Price

This study measures the connectedness of natural gas and electricity spot returns to their futures returns with different maturities. We employ the Henry Hub and the Pennsylvania, New Jersey, and Maryland (PJM) Western Hub Peak as the natural gas price indicator and the wholesale electricity price indicator, respectively. We also use each commodity’s spot prices and 12 types of futures prices with one to twelve months maturities and realize results in fourfold. First, we observe mutual spillover effects between natural gas futures returns and learn that the natural gas futures market is integrated. Second, we observe the spillover effects from natural gas futures returns to natural gas spot returns (however, the same is not evident for natural gas spot returns to natural gas futures returns). We find that futures markets have better natural gas price discovery capabilities than spot markets. Third, we observe the spillover effects from natural gas spot returns to electricity spot returns, and the spillover effects from natural gas futures returns to electricity futures returns. We learn that the marginal cost of power generation (natural gas prices) is passed through to electricity prices. Finally, we do not observe any spillover effects amongst electricity futures returns, except for some combinations, and learn that the electricity futures market is not integrated.

scholarly journals Pricing spark spread options in electricity markets

2021 ◽  
Author(s):  
Shivani Sharma
Keyword(s):  
Natural Gas ◽  
Electricity Markets ◽  
Nuclear Power ◽  
Real Data ◽  
Jump Diffusion ◽  
Electricity Prices ◽  
Market Prices ◽  
Spread Options ◽  
Master's Thesis ◽  
Jump Diffusion Model

This master's thesis develops a pricing method for spark spread options using a Monte Carlo method. The underlying commodities of interest, natural gas and uranium highlight the prevalence of natural gas power and nuclear power in Canada. To characterize the dynamics of electricity prices and capture specific features they have, two Levy models are proposed: a jump-diffusion model and a time-changed model. Real data are used to calibrate the models, using the daily average market prices for the last five years. We created a method to compute the price of the derivative under realistic modelling conditions using parameters found through the real data. Such models can be used to value the spark spread contracts to mitigate the risk associated the contracts.

Prospects for the Gulf states in 2022

2021 ◽  
Keyword(s):  
Saudi Arabia ◽  
Natural Gas ◽  
Gulf Cooperation Council ◽  
Energy Market ◽  
Global Energy ◽  
Content Type ◽  
Positive Economic ◽  
Natural Gas Prices ◽  
Gulf States ◽  
Oil And Natural Gas

Subject Prospects for the Gulf states in 2022. Significance The six member states of the Gulf Cooperation Council (GCC), especially Saudi Arabia, are enjoying the windfall from a tight global energy market that has pushed up oil and natural gas prices. They have also coped effectively with the healthcare challenges of the COVID-19 pandemic, laying the groundwork for positive economic prospects in 2022.

Investigation of the price linkage between Asian LNG spot and Far East Asian LNG prices and its implications

2018 ◽  
Vol 1 (1) ◽  
pp. 52-65
Author(s):  
Muhammad Anas Pradipta
Keyword(s):  
Natural Gas ◽  
Unit Root ◽  
East Asian ◽  
Far East ◽  
Unit Root Tests ◽  
Spot Prices ◽  
South Korean ◽  
Natural Gas Prices ◽  
Augmented Dickey Fuller

For so many times, Far East Asian liquid natural gas (LNG) buyers have been using price linked to crude oil-indexed, now they need to find another alternative pricing formula for their crucial energy supply as a better price structure that could reflect the market is needed. LNG spot price is expected to be the pillar for the future LNG trading, especially for Far East Asia Market. As less and less long-term contracts are signed in the Far East Asia Market, this creates an additional demand for the LNG in the spot market, while it raises some issues about the presence of different LNG pricing mechanisms. Most of the LNG spot prices in Asia are indexed to the relatively low natural gas prices in Atlantic Basin. Furthermore, the advancement of drilling technology in the US drives down its natural gas prices, resulting in price discrepancies between Asian LNG spot and East Asian LNG prices. This study investigates whether there is a price linkage between Asian LNG spot and East Asian LNG prices. This study comprehends 91 observations collected from January 2010 to July 2017. Johansen co-integration tests were carried out to examine the existence of long-run relationship on the spot, Japanese and South Korean LNG prices. The Augmented Dickey-Fuller (ADF), Phillip-Perron (PP), and Kwiatkowski-Phillips-Schmidt-Shin (KPSS) unit root tests were conducted first before proceeding to the co-integration tests. The results showed that Asian LNG spot prices did not have price linkage for monthly averages of Japanese and South Korean LNG prices. The analyses also indicated that Taiwan LNG markets move together with Asian LNG spot markets. As a conclusion, the results inferred that supply dependency on LNG spot cargoes governed the price linkage among these Asian LNG markets. The use of gas indexed LNG price mechanism did not reflect the economic fundamentals in Asia-Pacific Basin. JEL Classification: Q41Keywords: Price linkage, Johansen co-integration, augmented Dickey-Fuller, Phillip-Perron, and Kwiatkowski-Phillips-Schmidt-Shin, unit root tests, Far East Asian LNG spot prices, LNG spot and short-term cargoes, long-term contracts, spot prices, energy: demand and supply, prices

scholarly journals Pricing spark spread options in electricity markets

2021 ◽  
Author(s):  
Shivani Sharma
Keyword(s):  
Natural Gas ◽  
Electricity Markets ◽  
Nuclear Power ◽  
Real Data ◽  
Jump Diffusion ◽  
Electricity Prices ◽  
Market Prices ◽  
Spread Options ◽  
Master's Thesis ◽  
Jump Diffusion Model

This master's thesis develops a pricing method for spark spread options using a Monte Carlo method. The underlying commodities of interest, natural gas and uranium highlight the prevalence of natural gas power and nuclear power in Canada. To characterize the dynamics of electricity prices and capture specific features they have, two Levy models are proposed: a jump-diffusion model and a time-changed model. Real data are used to calibrate the models, using the daily average market prices for the last five years. We created a method to compute the price of the derivative under realistic modelling conditions using parameters found through the real data. Such models can be used to value the spark spread contracts to mitigate the risk associated the contracts.

Do Changes in Natural Gas Futures Prices Influence Changes in Natural Gas Spot Prices?

1993 ◽  
Vol 11 (5) ◽  
pp. 467-472 ◽  
Author(s):  
John H. Herbert
Keyword(s):  
Natural Gas ◽  
Futures Markets ◽  
Spot Market ◽  
Spot Markets ◽  
Futures Prices ◽  
Market Prices ◽  
Spot Prices ◽  
Futures Contract

Data on natural gas futures and spot markets are examined to determine if variability in price on futures markets influences variability in price on spot markets. Using econometric techniques, it is found that changes in futures contract prices do not precede changes in spot market prices.

scholarly journals Forecasting Performance Of Natural Gas Futures Market: An Assessment Of Recent Data

2011 ◽  
Vol 4 (11) ◽  
Author(s):  
Salah Abosedra ◽  
Khaled Elkhal ◽  
Faisal Al-Khateeb
Keyword(s):  
Natural Gas ◽  
Futures Market ◽  
Policy Implications ◽  
Energy Market ◽  
Futures Prices ◽  
Font Size ◽  
Spot Prices ◽  
Forecasting Performance ◽  
Futures Price ◽  
The U.S

<p class="MsoNormal" style="text-align: justify; margin: 0in 34.2pt 0pt 1in;"><span style="font-size: 10pt;"><span style="font-family: Times New Roman;">Natural gas has assumed increasing importance in the global energy market. This study evaluates the forecasting performance of futures prices of natural gas in the large market of the U.S. at various time horizons. The results indicate that futures prices are unbiased predictors at the 1-, 6-, and 12- month horizons, but not at the 3- and 9- month horizons. The results further suggest that futures prices of natural gas, although biased at some intervals, significantly outperform na&iuml;ve forecasts in predicting future movements of spot prices. In addition, the information content of the 1-month ahead futures price proves especially useful as a forecasting device. Policy implications are also discussed.<span style="mso-bidi-font-style: italic; mso-bidi-font-weight: bold;"></span></span></span></p>

scholarly journals Short-term stochastic movements of electricity prices and long-term investments in power generating technologies

2021 ◽  
Author(s):  
Carlo Mari
Keyword(s):  
Electricity Market ◽  
Nuclear Power ◽  
Net Present Value ◽  
Probability Distributions ◽  
Present Value ◽  
Electricity Prices ◽  
Short Term ◽  
Market Prices ◽  
Fuel Prices

AbstractModeling probability distributions for the long-term dynamics of electricity prices is of key importance to value long-term investments under uncertainty in the power sector, such as investments in new generating technologies. Starting from accurate modeling of the short-term behavior of electricity prices, we derive long-term stationary probability distributions. Then, investments in new baseload generating technologies, namely gas, coal and nuclear power, are discussed. In order to compute the stochastic Net Present Value of investments in new generating technologies, the revenues from selling electricity in power markets as well as the costs which come from buying fuels at uncertain market prices must be evaluated over very long time horizons, i.e., over the whole lifetime of the plants. Starting from accurate short-term stochastic models of fuel prices in addition to electricity prices, we provide long-run probability distributions which are used to compute revenues and costs incurring during the whole lifetime of the plants. Five sources of uncertainty are taken into account, namely electricity market prices, fossil fuel prices (natural gas and coal prices), nuclear fuel prices and $$\hbox {CO}_{\text{2 }}$$ CO 2 prices. Our evaluation model is calibrated on empirical data to account for both historical market prices and macroeconomic views about future trends of electricity and fuel prices. The full probability density of the stochastic Net Present Value is thus determined for each generation technology considered in this study.

Geopolitics of Energy

2016 ◽  
Vol 3 (1) ◽  
pp. 78
Author(s):  
Blerina Muskaj
Keyword(s):  
Natural Gas ◽  
Qualitative Methodology ◽  
Scientific Literature ◽  
Point Of View ◽  
Energy Market ◽  
Energy Potential ◽  
Environmental Consequences ◽  
Regional Energy ◽  
Political Debates ◽  
Political Weapon

At the beginning of my paper I will explain the concept of "Geopolitics of Energy", this will be done for a quite simple reason, because I want everyone who can sit to read this article to understand more clearly what is at stake, therefore allow them the comprehension of what is being elaborated bellow at first sight. Geopolitics of energy is a concept that relates to policies choosing exporters to implement on importers, is the policy that has an impact on energy consumption, which includes consumer’s choice in the geopolitical context, taking into account the economy, foreign policy, the safety of energy, environmental consequences and priorities that carries the energy exporter. This concept permits the understanding of how works the politics that undertakes this initiative taking into account natural resources such as: natural gas and oil. Natural gas and oil are two main resources that produce energy but also two main elements on which arises all the topic in the energetics game. For this paper is used qualitative methodology, through which we were able to accomplish this work. I focused on scientific literature, official publications and reports on energy geopolitics. The main aim has been to show how in this decade, energy security is at the center of geopolitical agenda and has become the focus of numerous political debates. Regarding this point of view, Europe is taking the initiative to create a common energy market within the continent by creating projects, in which Albania appears as a new regional energy potential. Russia, which is aiming to play a role in the international arena, is seeking to position itself geopolitically in "its political weapon", hydrocarbon resources, in particular natural gas resources.

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