Long-term seasonal forwards in electricity generation markets: an application to Colombia
Forwards estacionales de largo plazo en mercados de generación de electricidad: una aplicación en Colombia
Forwards sazonais de longo prazo nos mercados de geração de eletricidade: uma aplicação na Colômbia
DOI:
https://doi.org/10.15446/cuad.econ.v37n74.54299Keywords:
Electricity markets, seasonal forwards, Cournot equilibrium, portfolio theory, game theory (en)mercados eléctricos, forward estacionales, equilibrio de Cournot, teoría de portafolio, teoría de juegos (es)
mercados elétricos, forward sazonais, equilíbrio de Cournot, teoria de portfólio, teoria de jogos (pt)
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Seasonal components have been found in the price of most commodities, where prices are largely determined by the anticipation of seasonal demand and/or supply. This paper presents a methodology to determine seasonal forward prices in the electricity generation markets. A Cournot competition to characterize this market is assumed. Forward prices are calculated in accordance with the demand elasticity of the forwards and spot price through a differential or “gap” that represents the risk premium for the current forwards, plus some non-observable heterogeneities. The distribution of the given quantities in seasonal contracts is carried out through the classic portfolio theory. This methodology is applied to the Colombian case, and shows that it will be more profitable for generators to sell the proposed seasonal hydric forwards.
Los componentes estacionales se encuentran en los precios de la mayoría de los commodities, en los cuales los precios se determinan, en gran medida, por la anticipación de la estacionalidad en la oferta y la demanda. Este artículo presenta una metodología para determinar precios estacionales en forwards en mercados de generación de electricidad. Un juego de Cournot se considera para caracterizar este mercado. Los precios forward se construyen de acuerdo con la elasticidad de la demanda a los forward y el precio spot por medio de un diferencial que representa el premio por riesgo en los forward actuales más una heterogeneidad no observable. La distribución de estas cantidades en contratos estacionales se realiza mediante la teoría clásica de portafolio. Esta metodología se aplica al caso colombiano, mostrando que es más rentable para los generadores vender los forward hídricos estacionales propuestos.
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