英国电力市场在政策不确定性与市场碎片化下的风险溢价

摘要

Using hourly data from January 2015 to September 2023, this study examines risk premia in the UK wholesale electricity market, focusing on market conditions, policy interventions, and geopolitical shocks. An hour-of-the-day panel analysis shows that negative prices became more frequent during low-demand early-morning hours and that risk premia are statistically significant across most hours, with the largest positive premia occurring between 19:00 and 22:00. Negative intraday and day-ahead prices, price spikes, and peak scarcity are the most robust correlates of the premium. The variables Brexit referendum, I-SEM coupling, Market Stability Reserve, formal Brexit exit, and EU acquis are associated with higher risk premia when estimated separately, although most coefficients become insignificant in joint specifications because the event indicators are sequentially correlated. The COVID-19 indicator is associated with a higher premium in the baseline specification, consistent with heightened uncertainty in short-horizon price formation. The Russia-Ukraine war is associated with a compression of the day-ahead premium relative to intraday prices, consistent with intraday prices increasing disproportionately during the war period. Extended specifications show positive coefficients for gas and carbon prices, and renewable generation. Core results are stable across estimators, subsamples and winsorisation, but are less robust to alternative premium definitions and narrow event windows. As the empirical design is reduced-form, the event coefficients are interpreted as conditional associations rather than causal effects. The study's findings highlight the importance of coordinated and stable policy design, improved renewable-generation forecasting and liquid intraday markets to manage short-horizon price risk while decarbonising the electricity sector.