Equilibria in two-settlement markets : market power, uncertainty, and risk aversion
Abstract/Contents
- Abstract
- Forward contracting can deliver benefits in terms of risk hedging, price discovery, and market power mitigation. Aiming to advance the understanding of its role in market design, I examine how the introduction of a forward market changes the strategic and hedging incentives of participants. I challenge the two common literature assumptions of (i) one-sided market power: the assumption that only sellers exercise market power and (ii) perfect arbitrage: the equivalence of forward and (expected) spot price. I provide a framework in which oligopolists face oligopsonists in two sequential markets and allow for a price premium to arise endogenously as the result of hedging and strategic considerations. The introduction of a forward market is found to increase efficiency but does not necessarily do so in a Pareto improving way. The distribution of potential benefits to sellers and buyers depends on their risk aversion and market power. Policy implications are discussed.
Description
| Type of resource | text |
|---|---|
| Form | electronic resource; remote; computer; online resource |
| Extent | 1 online resource. |
| Place | California |
| Place | [Stanford, California] |
| Publisher | [Stanford University] |
| Copyright date | 2019; ©2019 |
| Publication date | 2019; 2019 |
| Issuance | monographic |
| Language | English |
Creators/Contributors
| Author | Roumpani, Maria |
|---|---|
| Degree supervisor | Sweeney, James L |
| Thesis advisor | Sweeney, James L |
| Thesis advisor | Kolstad, Charles D |
| Thesis advisor | Weyant, John P. (John Peter) |
| Degree committee member | Kolstad, Charles D |
| Degree committee member | Weyant, John P. (John Peter) |
| Associated with | Stanford University, Department of Management Science and Engineering. |
Subjects
| Genre | Theses |
|---|---|
| Genre | Text |
Bibliographic information
| Statement of responsibility | Maria Roumpani. |
|---|---|
| Note | Submitted to the Department of Management Science and Engineering. |
| Thesis | Thesis Ph.D. Stanford University 2019. |
| Location | electronic resource |
Access conditions
- Copyright
- © 2019 by Maria Roumpani
- License
- This work is licensed under a Creative Commons Attribution Non Commercial 3.0 Unported license (CC BY-NC).
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