Analysis of the Dynamics of the Brazilian Forward Market of Electricity

Detalhes bibliográficos
Autor(a) principal: Luz, Cristina Pimenta de Mello Spineti
Data de Publicação: 2012
Outros Autores: Gomes, Leonardo Lima, Brandão, Luiz Eduardo Teixeira
Tipo de documento: Artigo
Idioma: por
Título da fonte: Revista Brasileira de Gestão de Negócios (Online)
Texto Completo: https://rbgn.fecap.br/RBGN/article/view/1207
Resumo: Between 1996 and 2003, several countries, including Brazil, began to restructure their electricity sectors and established free markets for energy trading. The growth of these markets has required the adaptation of financial instruments for risk management and return to the particulars of each market. In Brazil, the market still has a disorganized and decentralized over-the-counter market (OTC) structure, which is more difficult to analyze due to the lack of public information. In this setting, the bilaterally negotiated forward contracts for electricity are the primary instruments to mitigate risks and evaluate investments. In this context, the objective of this study is to better understand the dynamics of the forward price of electricity negotiated in Brazil. In this article, we propose a method to construct the forward curve based only on market information and show an application of this approach. Our results indicate that the Brazilian forward market of electricity has a contango behaviour in certain periods, high risk premiums and only partial adherence of forward prices to the expectations of future spot prices. Studies support these evidences.Key words: Electricity trading. Foward market. Risk premium.
id FECAP-3_d9fcde7cf48915bb27c1d59ec126f797
oai_identifier_str oai:ojs.emnuvens.com.br:article/1207
network_acronym_str FECAP-3
network_name_str Revista Brasileira de Gestão de Negócios (Online)
repository_id_str
spelling Analysis of the Dynamics of the Brazilian Forward Market of ElectricityAnálisis de la Dinámica del Mercado a Plazo Fijo de la Energía Eléctrica en BrasilAnálise da Dinâmica do Mercado a Termo de Energia Elétrica no BrasilElectricity trading. Foward market. Risk premium.La venta de la electricidad. El mercado de futuros. La prima de riesgo.Comercialização de energia elétrica. Mercado a termo. Prêmio de risco.Between 1996 and 2003, several countries, including Brazil, began to restructure their electricity sectors and established free markets for energy trading. The growth of these markets has required the adaptation of financial instruments for risk management and return to the particulars of each market. In Brazil, the market still has a disorganized and decentralized over-the-counter market (OTC) structure, which is more difficult to analyze due to the lack of public information. In this setting, the bilaterally negotiated forward contracts for electricity are the primary instruments to mitigate risks and evaluate investments. In this context, the objective of this study is to better understand the dynamics of the forward price of electricity negotiated in Brazil. In this article, we propose a method to construct the forward curve based only on market information and show an application of this approach. Our results indicate that the Brazilian forward market of electricity has a contango behaviour in certain periods, high risk premiums and only partial adherence of forward prices to the expectations of future spot prices. Studies support these evidences.Key words: Electricity trading. Foward market. Risk premium. En la década de los 90, varios países, incluyendo Brasil, comenzaron a reestructurar su sector de electricidad y a crear mercados libres para el comercio de energía. El crecimiento de estos mercados ha requerido la adaptación de los instrumentos financieros para la gestión del riesgo. En Brasil, el mercado aún tiene una estructura descentralizada, lo que dificulta su estudio y análisis. Los contratos a plazo fijo para la electricidad, negociado bilateralmente en el país, son la principal herramienta de eliminación de riesgos y evaluación de la inversión. En este contexto, el objetivo de este estudio es comprender mejor la dinámica de los precios a plazo fijo de la energía eléctrica utilizada en Brasil. Por lo tanto, se propone un método para la construcción de las curvas a plazo fijo basado únicamente en la información del mercado. Nuestros resultados indican que el mercado de futuros de electricidad brasileño tiene un comportamiento contango en ciertos períodos, las primas de alto riesgo y sólo la adhesión parcial de los precios futuros a las expectativas de los precios al contado en el futuro. Los estudios apoyan estas evidencias.Palabras clave: La venta de la electricidad. El mercado de futuros. La prima de riesgo. Na década de 1990, diversos países, inclusive o Brasil, iniciaram a reestruturação de seus setores elétricos e criaram mercados livres para negociação de energia. O crescimento desses mercados tem demandado a adaptação de instrumentos financeiros de gestão de riscos e retornos a suas especificidades. No Brasil, o mercado tem, ainda, uma estrutura de balcão descentralizada, o que dificulta seu estudo e análise. Os contratos a termo de energia elétrica, negociados bilateralmente no país, são o principal instrumento para a mitigação de riscos e a avaliação de investimentos. Nesse contexto, o objetivo deste estudo é compreender melhor a dinâmica dos preços a termo de energia elétrica praticados no Brasil. Assim, é proposto um método para a construção de curvas a termo com base apenas em informações de mercado. Os resultados indicam que o mercado brasileiro a termo de energia elétrica apresenta comportamento contango em alguns períodos, elevados prêmios de risco e aderência apenas relativa dos preços a termo às expectativas de futuros preços à vista. Estudos realizados a partir de mercados estruturados de energia elétrica suportam essas evidências.Palavras-chave: Comercialização de energia elétrica. Mercado a termo. Prêmio de risco. FECAP2012-10-15info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionAvaliado por paresapplication/pdfhttps://rbgn.fecap.br/RBGN/article/view/120710.7819/rbgn.v14i44.1207Review of Business Management; Vol. 14 No. 44 (2012); 314-334RBGN Revista Brasileira de Gestão de Negócios; Vol. 14 Núm. 44 (2012); 314-334RBGN - Revista Brasileira de Gestão de Negócios; v. 14 n. 44 (2012); 314-3341983-08071806-4892reponame:Revista Brasileira de Gestão de Negócios (Online)instname:Fundação Escola de Comércio Álvares Penteado (FECAP)instacron:FECAPporhttps://rbgn.fecap.br/RBGN/article/view/1207/891Copyright (c) 2014 Review of Business Managementinfo:eu-repo/semantics/openAccessLuz, Cristina Pimenta de Mello SpinetiGomes, Leonardo LimaBrandão, Luiz Eduardo Teixeira2021-07-21T16:35:23Zoai:ojs.emnuvens.com.br:article/1207Revistahttp://rbgn.fecap.br/RBGN/indexhttps://rbgn.fecap.br/RBGN/oai||jmauricio@fecap.br1983-08071806-4892opendoar:2024-03-06T13:03:31.821447Revista Brasileira de Gestão de Negócios (Online) - Fundação Escola de Comércio Álvares Penteado (FECAP)true
dc.title.none.fl_str_mv Analysis of the Dynamics of the Brazilian Forward Market of Electricity
Análisis de la Dinámica del Mercado a Plazo Fijo de la Energía Eléctrica en Brasil
Análise da Dinâmica do Mercado a Termo de Energia Elétrica no Brasil
title Analysis of the Dynamics of the Brazilian Forward Market of Electricity
spellingShingle Analysis of the Dynamics of the Brazilian Forward Market of Electricity
Luz, Cristina Pimenta de Mello Spineti
Electricity trading. Foward market. Risk premium.
La venta de la electricidad. El mercado de futuros. La prima de riesgo.
Comercialização de energia elétrica. Mercado a termo. Prêmio de risco.
title_short Analysis of the Dynamics of the Brazilian Forward Market of Electricity
title_full Analysis of the Dynamics of the Brazilian Forward Market of Electricity
title_fullStr Analysis of the Dynamics of the Brazilian Forward Market of Electricity
title_full_unstemmed Analysis of the Dynamics of the Brazilian Forward Market of Electricity
title_sort Analysis of the Dynamics of the Brazilian Forward Market of Electricity
author Luz, Cristina Pimenta de Mello Spineti
author_facet Luz, Cristina Pimenta de Mello Spineti
Gomes, Leonardo Lima
Brandão, Luiz Eduardo Teixeira
author_role author
author2 Gomes, Leonardo Lima
Brandão, Luiz Eduardo Teixeira
author2_role author
author
dc.contributor.author.fl_str_mv Luz, Cristina Pimenta de Mello Spineti
Gomes, Leonardo Lima
Brandão, Luiz Eduardo Teixeira
dc.subject.por.fl_str_mv Electricity trading. Foward market. Risk premium.
La venta de la electricidad. El mercado de futuros. La prima de riesgo.
Comercialização de energia elétrica. Mercado a termo. Prêmio de risco.
topic Electricity trading. Foward market. Risk premium.
La venta de la electricidad. El mercado de futuros. La prima de riesgo.
Comercialização de energia elétrica. Mercado a termo. Prêmio de risco.
description Between 1996 and 2003, several countries, including Brazil, began to restructure their electricity sectors and established free markets for energy trading. The growth of these markets has required the adaptation of financial instruments for risk management and return to the particulars of each market. In Brazil, the market still has a disorganized and decentralized over-the-counter market (OTC) structure, which is more difficult to analyze due to the lack of public information. In this setting, the bilaterally negotiated forward contracts for electricity are the primary instruments to mitigate risks and evaluate investments. In this context, the objective of this study is to better understand the dynamics of the forward price of electricity negotiated in Brazil. In this article, we propose a method to construct the forward curve based only on market information and show an application of this approach. Our results indicate that the Brazilian forward market of electricity has a contango behaviour in certain periods, high risk premiums and only partial adherence of forward prices to the expectations of future spot prices. Studies support these evidences.Key words: Electricity trading. Foward market. Risk premium.
publishDate 2012
dc.date.none.fl_str_mv 2012-10-15
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Avaliado por pares
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://rbgn.fecap.br/RBGN/article/view/1207
10.7819/rbgn.v14i44.1207
url https://rbgn.fecap.br/RBGN/article/view/1207
identifier_str_mv 10.7819/rbgn.v14i44.1207
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://rbgn.fecap.br/RBGN/article/view/1207/891
dc.rights.driver.fl_str_mv Copyright (c) 2014 Review of Business Management
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2014 Review of Business Management
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv FECAP
publisher.none.fl_str_mv FECAP
dc.source.none.fl_str_mv Review of Business Management; Vol. 14 No. 44 (2012); 314-334
RBGN Revista Brasileira de Gestão de Negócios; Vol. 14 Núm. 44 (2012); 314-334
RBGN - Revista Brasileira de Gestão de Negócios; v. 14 n. 44 (2012); 314-334
1983-0807
1806-4892
reponame:Revista Brasileira de Gestão de Negócios (Online)
instname:Fundação Escola de Comércio Álvares Penteado (FECAP)
instacron:FECAP
instname_str Fundação Escola de Comércio Álvares Penteado (FECAP)
instacron_str FECAP
institution FECAP
reponame_str Revista Brasileira de Gestão de Negócios (Online)
collection Revista Brasileira de Gestão de Negócios (Online)
repository.name.fl_str_mv Revista Brasileira de Gestão de Negócios (Online) - Fundação Escola de Comércio Álvares Penteado (FECAP)
repository.mail.fl_str_mv ||jmauricio@fecap.br
_version_ 1816702454081781760

Registros relacionados