2024差价合约在能源转型中的作用研究报告：平衡市场效率与风险缓释（英）

The contents of this paper are the authors’sole responsibility. They do notnecessarily represent the views of the Oxford Institute for Energy Studies or any ofits members. (Registered Charity, No. 286084) This publication may bereproduced in part for educational or non-profit purposes without specialpermission from the copyright holder, provided acknowledgement of the source is made. No use ofthis publication may be made for resale or for any other commercial purpose whatsoever without priorpermission in writing from the Oxford Institute for Energy Studies. ISBN978-1-78467-250-8 Abstract Contracts for Difference (CfDs) have emerged as a key policy instrument to incentivize renewableenergy investments by mitigating revenue volatility. However, conventional CfDs, while effective infostering growth in renewable energy sources, can introducemarket distortions. These distortions arisefrom misaligned incentives, particularly the ‘produce-and-forget’ mentality, where generators prioritizemaximizing production without considering market signals. To address these challenges, in recentyears, alternative CfD designs have been proposed in the literature with the aim of enhancing marketintegration by decoupling payouts from real-time generation, and aligning generator incentives withmarket outcomes. However, the challenge is that these modified CfDs introduce basis risk, wherediscrepancies betweenreferenceprices and output, andactualprices and output, can lead to financialvolatility. This is however unavoidable because the purpose of CfDs is to mitigate risks for renewableenergy generators,while market efficiency relies on participants bearing some level of risk through priceexposure, so as to incentivize optimal decision-making. This challenge underscores the complex trade-off policymakers face between market efficiency and risk mitigation, necessitating a balanced approachto the design of CfDs. Additionally, the impact of increased basis risk on various stakeholders, includinggenerators,the government, consumers and financial institutions, highlights the need for a nuancedunderstanding of financial volatility and regulatory implications of alternative CfD designs. Contents Abstract.................................................................................................................................................iiContents...............................................................................................................................................iiiFigures and boxes...............................................................................................................................iiiTables...................................................................................................................................................iii1.Introduction...................................................................................................................................12.Conventional CfD contracts: Key design parameters...............................................................32.1 Reference market considerations (𝜆ℎ)..........................................................................................42.2 Reference price considerations (𝑅ℎ).............................................................................................42.3 Reference volume consideration (𝑞𝑖,ℎ).........................................................................................72.4 Strike price design considerations.................................................................................................73.Addressing distortions in conventional CfDs............................................................................83.1Benchmark case............................................................................................................................83.2 Main proposed methods..............................................................................................................134.Discussions.................................................................................................................................225.Conclusions.................................................................................................................................24References..........................................................................................................................................25 Figuresand boxes Figure 1:Two-sided vs. one-sided CfDs with a strike price set at 50 €/MWh.........................................2Figure 2: Basis risk in hourly vs. monthly average reference pricing CfD design...................................5Box 1: The calculation of market reference price in the UK....................................................................6Figure 3: Standard strike price versus cap and floor strike price............................................................8Figure 4: Flow of the money in the CfD con