A Count Model Analysis of the Traded Contracts in JEPX Forward Market

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  • カウントモデルを用いたJEPX先渡約定の傾向分析
  • カウントモデル オ モチイタ JEPX サキワタシ ヤクジョウ ノ ケイコウ ブンセキ

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The number of forward contracts traded in Japan Electric Power Exchange (JEPX) is desired to increase. However, few studies have clarified what factors have contributed to impacting the number of forward contracts traded. In this study, the authors analyzed the number of forward contracts using four kinds of count regression models. As a result, negative binomial regression model and zero-inflated models were able to better express the expected counts, by incorporating the overdispersion and excess zeros present in the observed data. Among others, the spot market can carry positive influences on the expected counts, by about 12% for 1 yen/kWh increase in price, and by about 27% for 0.1%-point increase in volumes. The zero-inflated models revealed that as many as three fourth of the entire forward products have high probability of zero counts, while the rest one fourth may see an increased number of counts as the spot market price and/or the spot volume become higher.

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