Avaliação de pr ojetos de pr odução de energia sob condições de incerteza na política climática
Palavras-chave:
Projetos de produção elétrica, análise de investimentos sob incerteza, certificados de redução de emissõesResumo
São apresentados os resultados de um modelo de avaliação financeira de usinas de produção hidroelétrica de média capacidade, considerando a incerteza associada a variáveis como o preço da eletricidade, o nível de produção real e a política climática, materializada através dos preços dos certificados de redução de emissões. O modelo desenvolvido consiste de duas fases. A primeira é baseada na metodologia de fluxo de caixa livre descontado e na segunda se propõe uma análise baseado em simulação de Monte Carlo, para considerar o nível de risco das variáveis críticas. Os preços da eletricidade foram simulados usando um processo de Wiener generalizado, com parâmetros de tendência e volatilidade obtidos a partir da análise dos preços médios de contratos bilaterais relatados no mercado de eletricidade colombiano. Para a produção real, foi ajustada uma distribuição de probabilidade baseada na informação de fator de usina de um grupo de pequenas centrais hidroelétricas no mercado colombiano. Posteriormente foram estudados os indicadores de risco financeiro do projeto e foi realizada uma análise de sensibilidade em diferentes faixas de preço dos certificados de redução de emissões. Os resultados mostram que embora os incentivos em matéria de política climática sejam bem intencionados, sua eficácia em relação com a rentabilidade dos projetos não é a melhor se forem consideradas as perspectivas de preço dos certificados de redução de emissões.
Downloads
Os dados de download ainda não estão disponíveis.
Referências
1. INTERNATIONAL ENERGY AGENCY (IEA). CO2 Emissions from Fuel Combustion Highlights. France: IEA Publications, 2012. 138 p.
2. ANTUNES, C. H., MARTINS, A. G. & BRITO, I. S. A multiple objective mixed integer linear programming model for power generation expansion planning. In: Energy. Vol. 29, No. 4 (Mar. 2004); p. 613-627.
3. ARANGO, S. & LARSEN, E. R. The environmental paradox in generation: How South America is gradually becoming more dependent on thermal generation. In: Renewable and Sustainable Energy Reviews. Vol. 14, No. 9 (Dec. 2010); p. 2956-2965.
4. BARRIA, C. & RUDNICK, H. Investment under Uncertainty in Power Generation: Integrated Electricity Prices Modeling and Real Options Approach. In: Latin America Transactions, IEEE (Revista IEEE America Latina). Vol.9, No.5 (Sep. 2011); p. 785- 792.
5. BLYTH, W., BRADLEY, R., BUNN, D., CLARKE, C., WILSON, T. & YANG, M. Investment risks under uncertain climate change policy. In: Energy Policy. Vol. 35, No. 11 (Nov. 2007); p. 5766- 5773.
6. CARERI, F., GENESI, C., MARANNINO, P., MONTAGNA, M., ROSSI, S. & SIVIERO, I. Generation Expansion Planning in the Age of Green Economy. In: Power Systems, IEEE Transactions on Power Systems. Vol. 26, No.4 (2011); p. 2214-2223.
7. CHEN, S.-L., ZHAN, T.-S. & TSAY, M.-T. Generation expansion planning of the utility with refined immune algorithm. In: Electric Power Systems Research. Vol. 76, No. 4 (Jan. 2006); p. 251-258.
8. DIXIT, A. & PINDYCK, R. Investment Under Uncertainty, United States of America, Princeton University Press, 1994. 476 p.
9. FIRMO, H. T. & LEGEY, L. F. L. Generation expansion planning: An iterative genetic algorithm approach. In: IEEE Transactions on Power Systems. Vol. 17, No.3 (Ago. 2002); p. 901-906.
10. FLETEN, S.-E. & KRISTOFFERSEN, T. K. Stochastic programming for optimizing bidding strategies of a Nordic hydropower producer. In: European Journal of Operational Research. Vol.181, No.2 (Sep. 2007); p. 916-928.
11. GRIFFES, P., HSU, M. & KAHN, E. Power Asset Valuation: Real Options, Ancillary Services, and Environmental Risks. The New Power Markets: Corporate Strategies for Risk and Reward. London: Risk Books, 1999.
12. HEIDARI, A. R. Generation expansion planning in pool market: A hybrid DP/GT model. In: International Conference on Systems – Proceedings. (2010); p. 87-92.
13. JALILZADEH, S., SHABANI, A. & AZADRU, A. Multi-period generation expansion planning using genetic algorithm. In: International Congress on Ultra Modern Telecommunications and Control Systems and Workshops. (2010); p. 358-363.
14. KARAKI, S. H., CHAABAN, F. B., AL-NAKHL, N. & TARHINI, K. A.. Power generation expansion planning with environmental consideration for Lebanon. In: International Journal of Electrical Power & Energy Systems. Vol. 24, No. 8. (Oct. 2002); p.611-619.
15. KJÆRLAND, F. A real option analysis of investments in hydropower--The case of Norway. In: Energy Policy.Vol. 35, No. 11 (Nov. 2007); p. 5901-5908.
16. LAURIKKA, H. Option value of gasification technology within an emissions trading scheme. In: Energy Policy. Vol. 34, No. 18 (Dic. 2006); p. 3916-3928.
17. LAURIKKA, H. & KOLJONEN, T. Emissions trading and investment decisions in the power sector—a case study in Finland. In: Energy Policy. Vol. 34, No. 9 (Jun. 2006); p.1063-1074.
18. LAURIKKA, H. & SPRINGER, U. Risk and return of project-based climate change mitigation: a portfolio approach. En: Global Environmental Change. Vol. 13, No. 3 (Mar. 2003); p. 207-217.
19. LEMMING, J. Financial risks for green electricity investors and producers in a tradable green certificate market. In: Energy Policy. Vol. 31, No. 1 (Jan. 2003); p. 21-32.
20. LUCIA, J. & SCHWARTZ, E. Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange. In: Review of Derivatives Research. Vol. 5, No. 1 (Jan. 2002); p. 5-50.
21. MALCOLM, S. A. & ZENIOS, S. A. Robust optimization for power systems capacity expansion under uncertainty. In: Journal of the Operational Research Society. Vol.45 (Sep. 1994); p. 1040-1049.
22. MASUD, A., MEZA, J. & YILDIRIM, M. A Multi-Objective Model for Power Generation Expansion Planning. IIE Annual Conference. Proceedings. (2007).
23. MISHRA, S., SINGAL, S. K. & KHATOD, D. K. Optimal installation of small hydropower plant—A review. In: Renewable and Sustainable Energy Reviews. Vol.15, No. 8 (Oct. 2011); p. 3862- 3869.
24. PARK, Y. M., PARK, J. B. & WON, J. R. A hybrid genetic algorithm/ dynamic programming approach to optimal long-term generation expansion planning. In: International Journal of Electrical Power & Energy Systems. Vol.20, No.4 (May. 1998); p. 295-303.
25. PEREIRA, A. J. C. & SARAIVA, J. T. Generation expansion planning (GEP) - A long-term approach using system dynamics and genetic algorithms (GAs). In: Energy. Vol. 36, No.8 (Ago. 2011); p. 5180- 5199.
26. PINDYCK, R. S. The Dynamics of Commodity Spot and Futures Markets: A Primer. In: The Energy Journal. 22, 3. (2001); p. 1-29.
27. SANTOLIN, A., CAVAZZINI, G., PAVESI, G., ARDIZZON, G. & ROSSETTI, A. Techno-economical method for the capacity sizing of a small hydropower plant. In: Energy Conversion and Management. 52, 7. (Jul. 2011); p. 2533-2541.
28. SCHWARTZ, E. Valuing long-term commodity assets. In: Journal of Energy Finance & Development. Vol. 3, No. 2 (1998); p. 85-99.
29. SHRESTHA, R. M. & ABEYGUNAWARDANA, A. M. A. K. Evaluation of economic rent of hydropower projects. En: Energy Policy. Vol.37, No. 5 (May. 2009); p.1886-1897.
30. SIRIKUM, J. & TECHANITISAWAD, A. Power generation expansion planning with emission control: A nonlinear model and a GA-based heuristic approach. In: International Journal of Energy Research. Vol. 30, No. 2 (Feb. 2006). p. 81-99.
31. TEKINER, H. Multi-objective stochastic models for electricity generation expansion planning problems considering risk. 2010. 251 p. PhD Thesis Industrial Engineering. Rutgers The State University of New Jersey.
32. TEKINER, H., COIT, D. W. & FELDER, F. A. Multi-period multiobjective electricity generation expansion planning problem with Monte-Carlo simulation. In: Electric Power Systems Research. Vol. 80, No. 12 (Dic. 2010); p. 1394-1405.
2. ANTUNES, C. H., MARTINS, A. G. & BRITO, I. S. A multiple objective mixed integer linear programming model for power generation expansion planning. In: Energy. Vol. 29, No. 4 (Mar. 2004); p. 613-627.
3. ARANGO, S. & LARSEN, E. R. The environmental paradox in generation: How South America is gradually becoming more dependent on thermal generation. In: Renewable and Sustainable Energy Reviews. Vol. 14, No. 9 (Dec. 2010); p. 2956-2965.
4. BARRIA, C. & RUDNICK, H. Investment under Uncertainty in Power Generation: Integrated Electricity Prices Modeling and Real Options Approach. In: Latin America Transactions, IEEE (Revista IEEE America Latina). Vol.9, No.5 (Sep. 2011); p. 785- 792.
5. BLYTH, W., BRADLEY, R., BUNN, D., CLARKE, C., WILSON, T. & YANG, M. Investment risks under uncertain climate change policy. In: Energy Policy. Vol. 35, No. 11 (Nov. 2007); p. 5766- 5773.
6. CARERI, F., GENESI, C., MARANNINO, P., MONTAGNA, M., ROSSI, S. & SIVIERO, I. Generation Expansion Planning in the Age of Green Economy. In: Power Systems, IEEE Transactions on Power Systems. Vol. 26, No.4 (2011); p. 2214-2223.
7. CHEN, S.-L., ZHAN, T.-S. & TSAY, M.-T. Generation expansion planning of the utility with refined immune algorithm. In: Electric Power Systems Research. Vol. 76, No. 4 (Jan. 2006); p. 251-258.
8. DIXIT, A. & PINDYCK, R. Investment Under Uncertainty, United States of America, Princeton University Press, 1994. 476 p.
9. FIRMO, H. T. & LEGEY, L. F. L. Generation expansion planning: An iterative genetic algorithm approach. In: IEEE Transactions on Power Systems. Vol. 17, No.3 (Ago. 2002); p. 901-906.
10. FLETEN, S.-E. & KRISTOFFERSEN, T. K. Stochastic programming for optimizing bidding strategies of a Nordic hydropower producer. In: European Journal of Operational Research. Vol.181, No.2 (Sep. 2007); p. 916-928.
11. GRIFFES, P., HSU, M. & KAHN, E. Power Asset Valuation: Real Options, Ancillary Services, and Environmental Risks. The New Power Markets: Corporate Strategies for Risk and Reward. London: Risk Books, 1999.
12. HEIDARI, A. R. Generation expansion planning in pool market: A hybrid DP/GT model. In: International Conference on Systems – Proceedings. (2010); p. 87-92.
13. JALILZADEH, S., SHABANI, A. & AZADRU, A. Multi-period generation expansion planning using genetic algorithm. In: International Congress on Ultra Modern Telecommunications and Control Systems and Workshops. (2010); p. 358-363.
14. KARAKI, S. H., CHAABAN, F. B., AL-NAKHL, N. & TARHINI, K. A.. Power generation expansion planning with environmental consideration for Lebanon. In: International Journal of Electrical Power & Energy Systems. Vol. 24, No. 8. (Oct. 2002); p.611-619.
15. KJÆRLAND, F. A real option analysis of investments in hydropower--The case of Norway. In: Energy Policy.Vol. 35, No. 11 (Nov. 2007); p. 5901-5908.
16. LAURIKKA, H. Option value of gasification technology within an emissions trading scheme. In: Energy Policy. Vol. 34, No. 18 (Dic. 2006); p. 3916-3928.
17. LAURIKKA, H. & KOLJONEN, T. Emissions trading and investment decisions in the power sector—a case study in Finland. In: Energy Policy. Vol. 34, No. 9 (Jun. 2006); p.1063-1074.
18. LAURIKKA, H. & SPRINGER, U. Risk and return of project-based climate change mitigation: a portfolio approach. En: Global Environmental Change. Vol. 13, No. 3 (Mar. 2003); p. 207-217.
19. LEMMING, J. Financial risks for green electricity investors and producers in a tradable green certificate market. In: Energy Policy. Vol. 31, No. 1 (Jan. 2003); p. 21-32.
20. LUCIA, J. & SCHWARTZ, E. Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange. In: Review of Derivatives Research. Vol. 5, No. 1 (Jan. 2002); p. 5-50.
21. MALCOLM, S. A. & ZENIOS, S. A. Robust optimization for power systems capacity expansion under uncertainty. In: Journal of the Operational Research Society. Vol.45 (Sep. 1994); p. 1040-1049.
22. MASUD, A., MEZA, J. & YILDIRIM, M. A Multi-Objective Model for Power Generation Expansion Planning. IIE Annual Conference. Proceedings. (2007).
23. MISHRA, S., SINGAL, S. K. & KHATOD, D. K. Optimal installation of small hydropower plant—A review. In: Renewable and Sustainable Energy Reviews. Vol.15, No. 8 (Oct. 2011); p. 3862- 3869.
24. PARK, Y. M., PARK, J. B. & WON, J. R. A hybrid genetic algorithm/ dynamic programming approach to optimal long-term generation expansion planning. In: International Journal of Electrical Power & Energy Systems. Vol.20, No.4 (May. 1998); p. 295-303.
25. PEREIRA, A. J. C. & SARAIVA, J. T. Generation expansion planning (GEP) - A long-term approach using system dynamics and genetic algorithms (GAs). In: Energy. Vol. 36, No.8 (Ago. 2011); p. 5180- 5199.
26. PINDYCK, R. S. The Dynamics of Commodity Spot and Futures Markets: A Primer. In: The Energy Journal. 22, 3. (2001); p. 1-29.
27. SANTOLIN, A., CAVAZZINI, G., PAVESI, G., ARDIZZON, G. & ROSSETTI, A. Techno-economical method for the capacity sizing of a small hydropower plant. In: Energy Conversion and Management. 52, 7. (Jul. 2011); p. 2533-2541.
28. SCHWARTZ, E. Valuing long-term commodity assets. In: Journal of Energy Finance & Development. Vol. 3, No. 2 (1998); p. 85-99.
29. SHRESTHA, R. M. & ABEYGUNAWARDANA, A. M. A. K. Evaluation of economic rent of hydropower projects. En: Energy Policy. Vol.37, No. 5 (May. 2009); p.1886-1897.
30. SIRIKUM, J. & TECHANITISAWAD, A. Power generation expansion planning with emission control: A nonlinear model and a GA-based heuristic approach. In: International Journal of Energy Research. Vol. 30, No. 2 (Feb. 2006). p. 81-99.
31. TEKINER, H. Multi-objective stochastic models for electricity generation expansion planning problems considering risk. 2010. 251 p. PhD Thesis Industrial Engineering. Rutgers The State University of New Jersey.
32. TEKINER, H., COIT, D. W. & FELDER, F. A. Multi-period multiobjective electricity generation expansion planning problem with Monte-Carlo simulation. In: Electric Power Systems Research. Vol. 80, No. 12 (Dic. 2010); p. 1394-1405.
