Seminar Series

2022 - 2023

Speaker: Sophie Moinas (TSE).

Title: “Renewable energy and risk premia on electricity futures markets”

joint with Angela Torres Corona (Paris Dauphine) and Sébastien Pouget (TSE).

Date: Thursday, December 1st at 12h30 (Paris Time).

Abstract: Since electricity is not storable, futures contracts that enable electricity producers and retailers to hedge against variations in spot prices at delivery cannot be priced by arbitrage. Following market equilibrium models, futures prices encompass a risk premium which sign and magnitude depend on the characteristics of the market participants. In this paper, we analyze how the change in the production mix to include a larger share of renewable electricity production alters this risk premium. We first develop a model relating risk premia to the characteristics of electricity production. Using data on spot and futures German-Austrian markets in 2011-2018, we estimate the structural parameters of the model, which enables us to analyze the long-run dynamics of participants risk exposures. Our results show that the increase in renewables generation has raised the non-diversifiable risk of market participants (i.e., producers' cost risk and retailers' revenue risk), directly impacting the futures risk premium. 

Bio: Here is a link to the speaker’s website

https://www.tse-fr.eu/fr/people/sophie-moinas

You are cordially invited to participate to the seminar, which will take place in Room 204, Bosco building.

For more information, please contact: Pierre Mella-Barral p.mella-barral@tbs-education.fr