%0 Journal Article
%T An¨¢lise da Dinamica do Mercado a Termo de Energia El¨¦trica no Brasil Analysis of the Dynamics of the Brazilian Forward Market of Electricity An¨¢lisis de la Din¨¢mica del Mercado a Plazo Fijo de la Energ¨ªa El¨¦ctrica en Brasil
%A LUZ
%A Cristina Pimenta de Mello Spineti
%A GOMES
%A Leonardo Lima
%A BRAND£¿O
%A Luiz Eduardo Teixeira
%J Revista Brasileira de Gest£¿o de Neg¨®cios
%D 2012
%I Funda??o Escola de Com¨¦rcio ?lvares Penteado
%X Na d¨¦cada de 1990, diversos pa¨ªses, inclusive o Brasil, iniciaram a reestrutura  o de seus setores el¨¦tricos e criaram mercados livres para negocia  o de energia. O crescimento desses mercados tem demandado a adapta  o de instrumentos financeiros de gest o de riscos e retornos a suas especificidades. No Brasil, o mercado tem, ainda, uma estrutura de balc o descentralizada, o que dificulta seu estudo e an¨¢lise. Os contratos a termo de energia el¨¦trica, negociados bilateralmente no pa¨ªs, s o o principal instrumento para a mitiga  o de riscos e a avalia  o de investimentos. Nesse contexto, o objetivo deste estudo ¨¦ compreender melhor a dinamica dos pre os a termo de energia el¨¦trica praticados no Brasil. Assim, ¨¦ proposto um m¨¦todo para a constru  o de curvas a termo com base apenas em informa  es de mercado. Os resultados indicam que o mercado brasileiro a termo de energia el¨¦trica apresenta comportamento contango em alguns per¨ªodos, elevados pr¨ºmios de risco e ader¨ºncia apenas relativa dos pre os a termo ¨¤s expectativas de futuros pre os ¨¤ vista. Estudos realizados a partir de mercados estruturados de energia el¨¦trica suportam essas evid¨ºncias. 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. RESUMEN En la d¨¦cada de los 90, varios pa¨ªses, incluyendo Brasil, comenzaron a reestructurar su sector de electricidad y a crear mercados libres para el comercio de energ¨ªa. El crecimiento de estos mercados ha requerido la adaptaci¨®n de los instrumentos fina
%K Comercializa  o de energia el¨¦trica
%K Mercado a termo
%K Pr¨ºmio de risco Electricity trading
%K Foward market
%K Risk premium La venta de la electricidad
%K El mercado de futuros
%K La prima de riesgo""> Comercializa  o de energia el¨¦trica
%K Mercado a termo
%K Pr¨ºmio de risco Electricity trading
%K Foward market
%K Risk premium La venta de la electricidad
%K El mercado de futuros
%K La prima de riesgo
%U http://200.169.97.104/seer/index.php/RBGN/article/view/1207/891