Abstract
In the process of electricity marketization, the electricity futures market is an effective means to avoid the risk of electricity price fluctuations. Based on the background of the electricity futures market, this article first analyzes the physical and market factors of the price fluctuation risk in the electricity market; then, it studies the principle and implementation effects of the power futures hedging function; finally, the manufacturer’s strategy of hedging based on the price difference between the spot price of electricity and the price of forward contracts has been studied in detail. This article believes that the electricity futures market can effectively hedge the spot market risk, and hedging strategies based on the difference between the spot price and the forward price are better.
Highlights
The establishment of the electricity futures market is an important part of the electricity marketization reform
Japan officially launched the first electricity futures in September 2019, and its electricity improvement process and the measures are very similar to China's new round of electricity reforms, which has played an important role in China's electricity reform [4]
Previous literature has studied the risk control strategies of electricity futures, but it is mainly a hedging strategy based on the basis between the electricity futures price and the spot price, which has a large basis risk, so this paper proposes a new hedging strategy
Summary
The establishment of the electricity futures market is an important part of the electricity marketization reform. The futures market is an effective way to hedge spot price fluctuations [1]. Previous literature has studied the risk control strategies of electricity futures, but it is mainly a hedging strategy based on the basis between the electricity futures price and the spot price, which has a large basis risk, so this paper proposes a new hedging strategy. The power market price fluctuation risk is studied from multiple angles. It analyzes how power futures can hedge the risk of power price fluctuation through hedging and the influencing factors of the hedging effect. A hedging strategy based on the difference between the spot price of electricity and the price of forward contracts was established
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