Abstract
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.
Highlights
The growth of these markets has required the ciertos períodos, las primas de alto riesgo y sólo la adaptation of financial instruments for risk adhesión parcial de los precios futuros a las management and return to the particulars of each expectativas de los precios al contado en el futuro
O objetivo deste estudo é compreender melhor a dinâmica dos preços a termo de energia
We propose a res elétricos constituíam-se como monopólios method to construct the forward curve based only estatais
Summary
Análisis de la Dinámica del Mercado a Plazo Fijo de la Energía Eléctrica en Brasil. Editor Responsável: João William Grava, Dr. Na década de 1990, diversos países, inclusive o resultados indicam que o mercado brasileiro a ter-. Iniciaram a reestruturação de seus setores mo de energia elétrica apresenta comportamento elétricos e criaram mercados livres para negociacontango em alguns períodos, elevados prêmios ção de energia. O crescimento desses mercados de risco e aderência apenas relativa dos preços a tem demandado a adaptação de instrumentos termo às expectativas de futuros preços à vista. Estudos realizados a partir de mercados estruturaespecificidades. No Brasil, o mercado tem, ainda, dos de energia elétrica suportam essas evidências. Uma estrutura de balcão descentralizada, o que dificulta seu estudo e análise. País, são o principal instrumento para a mitigação de riscos e a avaliação de investimentos.
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