simulation colombian firm energy market
TRANSCRIPT
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1
Simulation of the Colombian
Firm Energy Market
Peter Cramton
(joint with Steven Stoft and Jeffrey Wet!1" #e$ember %&&'
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%
Puroe
) *e ulier rik
) Conider variation of market deign
) Evaluate alternative au$tion arameter
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+
Simulation of market
) Model 1 , -itori$al ri$e
, Simulated unit
) Model % , -itori$al ri$e and outut
, *$tual unit
) Model + , Full imulation of au$tion and invetment
de$iion
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.
Model +
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Model +Full imulation of au$tion and invetment
) Can ak new 0uetion
, -ow doe a$0uired firm energy differ fromfirm energy target
, What i the ima$t of in$reaing the loe ofthe demand $urve around the target
, What i the ima$t of demand reone
, What i the ima$t of higher $ar$ity ri$e
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'
2ey feature of Model +
) 3hree roje$t tye , baeload4 eaker4 hydro
) Stationarity
, 5andom growth with mean +67year , Proje$t i8e $ale u with growth , *ll amount in real 9S: , S$ar$ity ri$e ; :1&&7MWh
) #uration , /& %&
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=
E>iting reour$e
?ew reour$e drawn fromditribution of e>iting reour$e
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"
5eour$e $hara$teriti$
) -ourly availability not modeled for eaker andbaeload
) -ydro energy outut from @M imulation
) Interpreting the numbers , Exact values, such as FE price, no important , Rather focus on changes in values and variation in
values
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A
Suly and ri$e determinationin ot energy market
) 9nit bid marginal $ot(oortunity $ot for hydro!
) #iat$h i effi$ient in ea$h hour
) -ydro oortunity $ot $al$ulated on amonthly bai
) #emand reone at ri$e above :1&&
, Contant elati$ity of
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1&
Monthly hydro oortunity $ot
ShortageB MC- MCPEnergy ri$e ; MCD or MCP or MC-
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11
Monthly hydro oortunity $ot
Hydro Opportunity Cost, MC -4
in a somewhat dry month
SupplyMC -
EB
EP
EH
MC P
MC D
Demand
Somewhat dryB MC- ; MCPEnergy ri$e ; MCD or MCP
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1%
Monthly hydro oortunity $ot
Hydro Opportunity Cost, MC -4
in a normal month
SupplyMC -
EB
EP
EH
MC P
MC D
Demand
?ormal waterB MC- ; MCDEnergy ri$e ; MCD in all hour
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1+
Monthly hydro oortunity $ot
Hydro Opportunity Cost,MC
-4
in a wet month
SupplyMC -
EB
EP
EH
MC P
MC D
Demand
ot of waterB MC- ; :&
Energy ri$e ; & in all hour
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1.
bligation
) -ydro ell ma>imum firm energyreolution &=1
) Daeload and eaker ell long
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1/
Didding in firm energy au$tion
) Did are $ometitive , 9nit on margin e>e$t to break even
) 9nitH rofit deend on reour$e mi>
) Cal$ulate bid a a fun$tion of reour$e mi>
) #etermine winning tye a a fun$tion ofmi>
, *dd unit in e0uen$e until Suly 3arget , 5eje$t lat unit if total $ot i le with
Suly I 3arget
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1'
Model outut
) Ea$h imulation year4 determine entry
) E>amine e0uen$e of entry4 urlu over target
) Ea$h imulation year4 $omute $omonent of
rofit for ea$h unit) 9nit aigned to one of ten $omanie to
reerve e>iting market tru$ture
) E>amine ditribution of annual rofit , n aggregate (indutry rofit!
, Dy unit tye
, Dy $omany
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1=
S$enario
) Ea$h $enario take about %B/ day to runthrough 1&&& year (/& %&
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1"
S$enario %KChange demand $urve
Pri$e of firm energy
Firm energy3arget
C?E
% C?E
C?E ; Cot of ?ew Entry (marginal unit!
&
½ C?E
Pri$e $eiling
Pri$e floor
± .6
oad not fully hedged
± %6
Stee FE demand$urve
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1A
S$enario +K -igh demand reone
-ighdemandreone
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%&
Mot rofitable tye given mi>
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%1
?ew entry by year and unit tye(ben$hmark!
0 500 1000 1500 2000 2500 3000 3500 4000 4500 5000 5500 6000 6500 7000
SUM(FE)
1
2
3
4
5
6
7
8
910
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
unittype
B
H
P
yearadded
20
19
18
17
16
15
14
13
12
11
10
9
8
7
6
5
4
3
2
1
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%%
?umber of entrie by year and tye
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%+
?umber of entrie er year
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%.
Firm energy and outut hare
) Mi> of lant doe not vary with
, Steene of FE demand $urve , #emand reone
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%/
Pri$e4 $ar$ity4 and uly
) Steeer FE demand $urve reult in , Lreater urlu above target
, Fewer $ar$ity hour) -igher demand reone imlie mu$h
lower ot ri$e in $ar$ity hour
E l d FE i
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%'
E>$e uly and FE ri$e
S it h d it i
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%=
S$ar$ity hour and $ar$ity ri$e
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%"
Fre0uen$y of
$ar$ity month in year
Firm energ ri$e
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%A
Firm energy ri$e1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50
8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8
B e n c h m a r k
S t e e p F E e m a n
0!0
0!5
1!0
1!5
2!0
2!5
3!0
3!5
4!0
" # $ ( F % r m E n e r & ' P r % c e )
0!0
0!5
1!0
1!5
2!0
2!5
3!0
3!5
4!0
" # $ ( F % r m E n e
r & ' P r % c e )
"era&e * F% rm Ener&' Pr%ce *r each 'ear +rken ,n +' - %m -! .a-e! /he %e, %- tere n .a-e ,h%ch keep- Benchmark an Steep FE eman!
$$aional dro $aued by large lum followed by year of urluB *doted reolution avoid thi roblemB
FE ri$e in urlu year ; FE ri$e in lat u$$eful au$tionB
E i
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+&
Energy ri$e1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50
8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8
B e n c h m
a r k
S t e e p F E e m a n
H % & h e m a n r e - p n - e
0
100
200
300
400
" # $ ( E n e r &
' P r % c e )
0
100
200
300
400
" # $ ( E n e r & ' P r % c e )
0
100
200
300
400
" # $ ( E n e r & ' P r % c e )
"era&e * Ener&' Pr%ce *r each 'ear +rken ,n +' -%m -! .a-e!
-igh demand reone greatly redu$e ike
P fit MWh f fi
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+1
Profit er MWh of firm energy1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50
8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8 8
B e n c h m a
r k
S t e e p F E e m a n
H % & h e m a n r e - p n - e
5
0
5
10
S U M ( p r *
% t )
5
0
5
10
S U M ( p r * % t )
5
0
5
10
S U M ( p r * % t )
Sm * prt *r each 'ear +rken ,n +' -%m -! .a-e!
#itribution of annual rofit
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+%
#itribution of annual rofiter MWh of firm energy
) Did do not take lum into a$$ount , Surlue $aue dro in firm energy ri$e and lower
energy rent , -en$e lightly negative rofit
) -edge dramati$ally redu$e rik
)Energy rent rimary our$e of rik
#itribution of annual rofit
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++
#itribution of annual rofiter MWh of firm energy
) ma$t of higher $ar$ity ri$e
, Profit ditribution hift toward no hedge $ae) arge in$reae in energy rent rik
) Small de$reae in hedge ayment rik
) arge in$reae in rofit rik overall
P fit b it t (b h k!
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+.
Profit by unit tye (ben$hmark!1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
4 1 0
1 6 4
1 0
1 6 4
1 0
1 6 4
1 0
1 6 4
1 0
1 6 4
1 0
1 6 4
1 0
1 6 4
1 0
1 6 4
1 0
1 6 4
1 0
1 6 4
1 0
1 6 4
1 0
1 6 4
1 0
1 6 4
1 0
1 6 4
1 0
1 6 4
1 0
1 6 4
1 0
1 6 4
1 0
1 6 4
1 0
1 6 4
1 0
1 6
B
H
P
10
5
0
5
10
15
20
S U M ( p r
* % t )
10
5
0
5
10
15
20
S U M ( p r
* % t )
10
5
0
5
10
15
20
S U M ( p r
* % t )
Sm )* pr)t *)r each 'ear +r)ken ),n +' -%m (-! n%tt'pe *)r Benchmark! /he (%e, %- tere )n -%m ,h%ch keep- 20 mem+er-!
Peaker i lowet rikB
Daeload i highet rikB
-ydro ha moderate rikB
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*nnual rofit by unit tye
Profit by $omany (ben$hmark!
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Profit by $omany (ben$hmark!1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
6 16 6 16 6 16 6 16 6 16 6 16 6 16 6 16 6 16 6 16 6 17 6 16 6 16 6 16 6 16 6 16 6 16 6 16 6 16 6 16
1
2
3
4
5
6
7
8
9
1 0
20
0
20
40
S U M ( p r * % t )
20
0
20
40
S U
M ( p r * % t )
20
0
20
40
S U M ( p r * % t )
20
0
20
40
S U M ( p r * % t )
20
0
20
40
S U M ( p r
* % t )
20
0
20
40
S U M ( p r * % t )
20
0
20
40
S U M ( p r * % t )
20
0
20
40
S U M ( p r * % t )
20
0
20
40
S U M ( p r * % t )
20
0
20
40
S U M ( p r * % t )
Sm* prt *r each 'ear +rken ,n +' -%m -! ,ner% * r Benchmark! /he %e, %- tere n - %m ,h%ch keep- 20 mem+er-!
P fit b (b h k!
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+=
Profit by $omany (ben$hmark!
P fit b ( t FE d d!
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+"
Profit by $omany (tee FE demand!
P fit b (hi h d d !
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+A
Profit by $omany (high demand reone!
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.&
Con$luion
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Con$luion
) -edge remarkably u$$eful in redu$ing rik , ndutry rik redu$ed by a fa$tor of =
, Comany rik redu$ed by a fa$tor of .B/ in ben$hmark
) -igher $ar$ity ri$e in$reae ulier rik) um $an $aue multi