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dc.date2012
dc.date.available2015-11-06T21:16:30Z
dc.date.issued2012
dc.identifier.issn0121-5051
dc.identifier.urihttp://hdl.handle.net/10784/7641
dc.description.abstractThis paper presents a study of the Forward Risk Premia (FRP) in Wholesale Electric Power Market in Colombia (WPMC) showing how the FRP varies throughout the day and how its properties are explained by risk factors. It also shows that expected forward risk premia depends on factors such as variations in expected spot prices, due to the climatic conditions generated by the Oceanic Niño Index (ONI) and its impact on the available quantity of water to generate electric power. This document provides a quantitative assessment of the Colombian electricity forward price premium as defined as the discrepancy between spot and forward prices in the Colombian market. The study applies appropriate methodologies including linear regression and GARCH modeling of time series to investigate the issue under concern. It delivers empirical results which, to the best of our knowledge, are new in the market context of Colombia. In particular, the relation between a weather-linked phenomenon such as El Niño effect and electric forward price premia is quantified.eng
dc.language.isoengeng
dc.publisherUniversidad nacional de Colombiaeng
dc.relation.ispartofInnovar, Revista de ciencias administrativas y sociales. Vol. 22, (44), 2012, pp.51-66spa
dc.relation.isversionofhttp://www.fce.unal.edu.co/media/files/documentos/Innovar/v22n44/v22n44.pdf
dc.relation.urihttp://www.fce.unal.edu.co/media/files/documentos/Innovar/v22n44/v22n44.pdf
dc.rightsopenAccesseng
dc.sourceInnovar, Revista de ciencias administrativas y sociales. Vol. 22, (44), 2012, pp.51-66spa
dc.titleModelling risks for electric power markets.eng
dc.typearticleeng
dc.typeinfo:eu-repo/semantics/articleeng
dc.typeinfo:eu-repo/semantics/publishedVersioneng
dc.rights.accessrightsinfo:eu-repo/semantics/openAccesseng
dc.type.localArtículospa
dc.subject.keywordForward Risk Premiaeng
dc.subject.keywordElectric Power Marketseng
dc.subject.keywordOceanic Niño Index (ONI)eng
dc.rights.localAcceso abiertospa
dc.date.accessioned2015-11-06T21:16:30Z
dc.type.hasVersionObra publicadaspa
dc.type.hasVersionpublishedVersioneng
dc.contributor.departmentEconomía y Finanzasspa
dc.contributor.departmentFinanzasspa
dc.contributor.authorPantoja-Robayo, Javierspa
dc.citation.journalTitleInnovar, Revista de ciencias administrativas y socialesspa
dc.citation.volume22
dc.citation.issue44
dc.citation.spage51
dc.citation.epage66
dc.contributor.affiliationAssistant Professor in Business School, Eafit University Colombiaspa
dc.contributor.programGrupo de Investigación Finanzas y Bancaspa


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