Data and Code for: Can Forward Commodity Markets Improve Spot Market Performance? Evidence from Wholesale Electricity
Principal Investigator(s): View help for Principal Investigator(s) Akshaya Jha, Carnegie Mellon University; Frank Wolak, Stanford University and NBER
Version: View help for Version V1
| Name | File Type | Size | Last Modified |
|---|---|---|---|
| CAISO_costs | 10/11/2022 12:14:PM | ||
| CAISO_prices | 10/12/2022 12:28:PM | ||
|
|
application/pdf | 354.1 KB | 10/15/2022 12:58:PM |
Project Citation:
Jha, Akshaya, and Wolak, Frank. Data and Code for: Can Forward Commodity Markets Improve Spot Market Performance? Evidence from Wholesale Electricity . Nashville, TN: American Economic Association [publisher], 2023. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2023-04-07. https://doi.org/10.3886/E141521V1
Project Description
Summary:
View help for Summary
Forward markets are believed to aggregate information about future spot prices and reduce the cost of producing the commodity. We develop a measure of the extent to which forward and spot prices agree in markets with transaction costs. Using this measure, we show that day-ahead prices better reflect real-time prices at all locations in California's electricity market after the introduction of financial trading. We then present evidence suggesting that operating costs and input fuel use fell after the introduction of financial trading on days when the nonconvexities inherent to the production and transmission of electricity are especially relevant.
Scope of Project
Subject Terms:
View help for Subject Terms
Wholesale Electricity Markets;
Virtual Bidding;
Financial Trading;
Forward Commodity Markets;
Transaction Costs
JEL Classification:
View help for JEL Classification
G18 General Financial Markets: Government Policy and Regulation
L94 Electric Utilities
Q48 Energy: Government Policy
G18 General Financial Markets: Government Policy and Regulation
L94 Electric Utilities
Q48 Energy: Government Policy
Geographic Coverage:
View help for Geographic Coverage
California
Time Period(s):
View help for Time Period(s)
4/1/2009 – 11/30/2012
Universe:
View help for Universe
California's wholesale electricity market
Data Type(s):
View help for Data Type(s)
administrative records data
Methodology
Data Source:
View help for Data Source
We collect data on hourly location-specific day-ahead and real-time prices
from the OASIS API administered by California's Independent System Operator.
The analysis pertaining to input fuel use and production costs uses hourly generation-unit-level data on input fuel measured in millions of British Thermal Units (MMBTU) and electricity output in MWh from the Continuous Emissions Monitoring Systems database administered by the United States Environmental Protection Agency.
The analysis pertaining to input fuel use and production costs uses hourly generation-unit-level data on input fuel measured in millions of British Thermal Units (MMBTU) and electricity output in MWh from the Continuous Emissions Monitoring Systems database administered by the United States Environmental Protection Agency.
Unit(s) of Observation:
View help for Unit(s) of Observation
Pricing locations and generation units in California's wholesale electricity market
Related Publications
Published Versions
Report a Problem
Found a serious problem with the data, such as disclosure risk or copyrighted content? Let us know.
This material is distributed exactly as it arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.