Risks and Risk Premiums in Commodity Markets

Die vorliegende Arbeit untersucht Risikofaktoren und Risikoprämien in Rohstoffmärkten und beinhaltet vier empirische Studien. Die ersten zwei Studien konzentrieren sich dabei auf Risikoprämien von verbundenen Terminmärkten für Elektrizität in Australien. In der dritten Studie wird ein Modell zur Beschreibung von extremen Preissprüngen bei Strom entwickelt. Die vierte Studie untersucht schließlich Risikoprämien in der Convenience Yield auf Rohstoffmärkten. (Für eine detailliertere Beschreibung der einzelnen Studien wird auf die jeweilige englische Zusammenfassung verwiesen.)This PhD thesis investigates risks and risk premiums in commodities markets. Two chapters discuss the risks premium in interconnected electricity markets. One chapter develops a model for price spikes, and the risks of extreme outcomes for spot electricity prices. The last chapter investigates convenience yield risk premiums in various commodity markets. The research follows the thesis by publication format and has four completed research papers. The first paper provides an empirical analysis of the relationship between spot and futures prices in interconnected regional Australian electricity markets. We find positive and significant risk premiums for several of the considered regions. Using a general equilibrium model and applying a seemingly unrelated regression (SUR) approach, we also find that price levels, as well as skewness and kurtosis of spot prices are determinants of the realized risk premiums in these markets. The second paper investigates the dynamics of futures premiums in Australian electricity markets. We examine how premiums behave depending on the time-to-delivery of the considered contracts as well as for different delivery periods. We find that futures premiums tend to increase when: (i) the time is closer to maturity of the contract, (ii) spot price is high, and (iii) the number of price spikes increases. The third paper examines the impact of explanatory variables such as load, weather and capacity constraints, on the occurrence and magnitude of price spikes in Australian electricity markets. Applying the Heckman correction model, we find that the market load, relative air temperature and reserve margins are significant variables for the occurrence of price spikes. Electricity loads and relative air temperature are also significant variables impacting on the magnitude of a price spike. The Heckman selection model also outperforms a standard OLS regression approach. The fourth paper presents a comprehensive examination of convenience yield risk premiums in various commodity markets. Constructing a security that is only sensitive to convenience yield risk, we find that convenience yield risk premiums are positive and, that risk premiums are very large for metals and grains while there are no significant convenience yield risk premiums for oil and gas