【作者】 郭兴磊；

【导师】 张宗益；

【作者基本信息】 重庆大学 ， 技术经济及管理， 2011， 博士

【摘要】 电力市场化改革后,电价随着供需关系的变化而变化,市场交易者面临随机电价风险;在市场的作用下,电能流动性的增强导致了输电阻塞现象的增加,市场交易者还面临区域电价风险。为规避这两种价格风险,电力市场设计者将金融工具引入到电力市场中。同时由于电力市场为寡头垄断竞争市场,发电商或多或少都具有市场力。因此,风险规避和市场力抑制一直是电力市场研究的重点,相关研究可谓是汗牛充栋。与以往将风险规避和市场力抑制割裂成两个问题分别研究不同,本论文在总结和借鉴国内外相关研究成果的基础上,将风险规避和市场力抑制纳入到一个统一的框架内进行研究,考察电力市场功能设计之间的相互关联性。最后本论文还根据我国电力市场改革的特点,对我国直购电市场的建设进行研究。相比于国外电力市场改革的“一蹴而就”,我国国情决定了我国电力市场改革必须以“稳”为改革的前提,只能以局部地区、局部市场为“试点”逐步推进市场化改革。我国电力市场会长期呈现出计划经济与市场经济体制共存的局面,因此有必要探讨这两种体制下相关政策之间的相互影响性。本论文首先分析了电力市场的特征,介绍了电力市场化改革的基础—节点边际电价理论,及远期合约和金融输电权对价格风险的规避。然后通过综合应用电力经济理论、博弈论、最优化理论、风险度量方法等系统分析远期合约和金融输电权与市场力的关系,最后对我国正在进行的直购电市场的建设进行了研究,论文的主要工作与创新体现在:①从重复博弈的角度,研究不同惩罚措施下远期合约对发电厂商现货市场竞争时合谋行为的影响。相对于已有研究大多将远期合约视为无限期,本文假设远期市场与现货市场交替进行更接近于现实,这点与Liski&Montero(2006)研究的假设相同。与他们主要是从不同的竞争行为(价格竞争和产量竞争)的角度研究相比,本文主要从不同的惩罚措施(理性和非理性)的角度进行研究。由于电能质量相差不大,一般情况下用户对电能质量的要求又不高,因此假设发电商进行产量竞争更合理。本论文研究得到与已有研究不同的结论,结果表明:远期合约与默契合谋行为的关系不能一概而论。完全竞争惩罚会加强电厂商默契合谋的可能性。这是因为完全竞争惩罚会使发电商偏离合谋后获得零竞争利润,此惩罚措施可以有效的恫吓对手,防止偏离行为的发生。古诺竞争惩罚时:双边差价合约降低了发电商默契合谋的可能性,单边差价合约对默契合谋行为没有影响。②金融输电权引入电力市场后,也可能会使寡头发电商拥有垂直市场力。本论文通过求解引入金融输电权前后市场纳什均衡解,首次定量研究了金融输电权对不同地理位置的发电商市场力的影响,并首次从寡头垄断市场结构的角度研究了金融输电权与发电商市场力的关系。研究结果表明:1)金融输电权对不同地理位置的发电商市场力的影响力度是不同的,最多可以提高进口区发电商市场力6%左右;最多可以降低出口区发电商市场力40%左右。电力逆需求弹性系数对出口区发电商市场力没有影响,在弹性系数较大时时可以提高进口区发电商原有市场力。发电成本系数的变化对发电商原有市场力影响甚小。2)金融输电权对发电商市场力的提高有递进增长现象。三种寡头竞争市场结构中,Cournot模型市场力提高最多,Stackelberg模型次之,Forchheimer模型提高的最少,这与三种模型原有市场力大小排序相同。电力逆需求函数截距的增大可以大约同等程度的降低三种寡头竞争模型下发电商输电权市场力;电力逆需求函数斜率的增大可以提高发电商输电权市场力;降低发电成本可以提高发电商输电权市场力。③我国直购电市场建设的开展离不开市场主体的积极参与,通过构造市场参与主体的收益模型,对大用户和发电商参与直购电交易的动机进行分析。结果表明:达成交易的电价区间大小与调剂量与直购合同电量的比值成反比,比值越大达成交易的电价区间越小,达成交易的谈判难度就会越大。因此,大用户对实际需求电量预测的准确性直接决定了直购电交易谈判的难易度。④在余缺电量调剂受到惩罚的规定下,大用户的决策对直购电市场建设有重要的影响。通过引入一致性风险计量工具CVaR,将均值—CVaR收益模型应用于大用户直购电量的优化决策模型,分析大用户用电目录电价及发电厂上网电价对大用户最优直购合同电量的影响,并重点分析国家电价政策的调整对大用户直购电合同电量的影响。研究结果表明:发电厂商上网电价与大用户用电目录电价与直购电合同电量有正向关系。随着发电厂商上网电价的提高其对直购电合同电量的影响越来越小,而随着用电目录电价的提高其对直购电合同电量的影响则越来越大。大用户对用电需求预测越准确,直购合同电量对国家电价政策的调整越不敏感。更多还原

【Abstract】 Since the 1980s, many countries have carried out the reformation of the electricity market, breaking the traditional vertically integrated monopoly structure down and promoting competition to improve the efficiency of the market. Since 2002, China has begun to reform the electricity market. After the reformation, market traders face random price risk and regional price risk. To avoid price risks, the financial instrument was introduced into the electricity market. By adopting forward contracts, random price risk can be hedged, and by applying financial transmission rights, regional price risk can be avoided. The electricity market structure is oligopolistic, so generators have market power more or less. Many scholars have studied the issues of risk aversion and market power control in electricity market. However, what effects the introduction of financial instruments has upon the market power of generators in addition to risk aversion? The research in this area is still at the exploratory stage, for widely-accepted research results have not been achieved.This paper first analyzes the characteristics of the electricity market and introduces the theory of locational marginal pricing and how the financial transmission rights and contracts for differences avoid the price risk. Based on the summary and references of the research results both at home and abroad, this paper systematically analyses how forward contracts and financial transmission rights take effects on market efficiency.This paper also studies the ongoing electricity market reform in China.①The impact of forward contracts on competition is discussed. In the deregulated electricity market, contracts market can hedge the risk of the price fluctuation. This paper studies how contract for differences affects the possibility of tacit collusion between power plants. In this model power plants compete in quantities complying with trigger strategies which trading electric energy in the infinite interchanging contract and spot market. The results show: if the punishment leads the market to perfect competition equilibrium, the forward market will increase the possibility of tacit collusion. The power plants will get zero profit after the penalty of perfect competition. The penalty will prevent the occurrence of deviation from tacit collusion. If the punishment leads the market to Cournot equilibrium, the two-way CFDs have pro-competition effect, while the one-way CFDs have no effect on tacit collusion.②Research on the relationship between financial transmission rights(FTR) and the market power of the generators. In this thesis, by solving the market equilibrium before and introducing transmission rights after, the relationship between FTR and the market power of generators is researched in terms of market structure and generators’location respectively. The results show: 1) FTR will mitigate the market power of generators in exporting region markedly, thus the market price will reduce by 6%; while the FTR will increase the market power of generators in an importing region slightly, thus the market price will increase by 40%. 2) FTR will increase the market power of generators in all three models (Cournot, Stackelberg and Forchheimer models). Specifically, FTR has the greatest market power in the Cournot model and the least in the Forchheimer model.③Analysis of the motivation of Direct-power-purchasing for large consumers. Considering the actuality of China’s electricity market, based on the latest regulation on Direct-power-purchasing, this paper developed benefit mathematic models for large consumers and power plants, finally analyzed the risks for them and deduced the necessary of participate condition in Direct-power-purchasing market. The results show: the internal length of trading price is inversely proportional to the quantity of direct-purchasing. The greater the price interval is, the smaller the ratio of the quantity of Direct-power-purchasing is. Therefore, the forecasting accuracy of the quantity of Direct-power-purchasing determines the degree of difficulty of negotiation.④Research on decision of large consumers’direct-purchasing based on CVaR. In the Direct-power-purchasing electric market, when the quantity of demand is not equal to the quantity of contract, the large consumers will be punished. Supposing the quantity of demand is random, this paper takes the CVaR as risk measurement index to construct the optimal model. The results show: there is a positive relation between the discrimination price and the quantity of Direct-purchasing. With the increase of on-grid price,it exerts increasing less influence on the quantity of Direct-power-purchasing. The more accurate the larger consumers’prediction is, the less sensitive the quantity of Direct-power-purchasing reacts to the adjustment of the national electricity price policy.更多还原