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本文分析和刻画了电力市场的风险特征,重点论证了电力期货市场运行的风险生成机制及其成因,发现电力期货市场并不能消除发电商的市场力。在通行的期货交易规则下,发电商具有占优策略。在多次重复博弈之后,投机商认识到这一点,于是退出市场,导致市场崩溃。这是一个纳什均衡。本文的研究深化了Moulton(2005)的结论,并为其经验结果提供了理论解释。
This paper analyzes and characterizes the risk characteristics of the electricity market, and emphatically demonstrates the risk generating mechanism and its causes of the operation of the electricity futures market. It is found that the electricity futures market can not eliminate the market power of the electricity producers. Under prevailing futures rules, generators have a dominant strategy. After repeating the game for many times, speculators recognized this and exited the market, causing the market to collapse. This is a Nash equilibrium. The research in this paper deepens the conclusion of Moulton (2005) and provides a theoretical explanation for its empirical results.