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Transmisión y la "ley corta": una nota sobre el riesgo y la tasa de descuento

  • Alexander Galetovic

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    Esta nota estudia los determinantes de la tasa de descuento apropiada para fijar peajes de transmisión. Para ello se desarrolla un modelo simple que permite descomponerla en una suma de la tasa libre de riesgo y el premio por riesgo. Los principios generales son dos: (a) la tasa de descuento debiera ser variable y anclarse en la tasa libre de riesgo; si la tasa libre de riesgo sube, debiera subir la tasa de descuento, y lo contrario si baja. (b) El premio debiera compensar al transmisor por el "riesgo de oportunismo regulatorio" y por la variabilidad no diversificable de las tarifas impuesta al transmisor por el método elegido para fijar tarifas. La ley corta, sin embargo, le otorgaría al transmisor una tasa fija del 10%. Aproximando la tasa libre de riesgo por aquella pagada por un pagaré reajustable del Banco Central (PRC) a 20 años se utiliza el modelo para evaluar cuál es el riesgo implícito que justifica una tasa de exactamente 10%. Finalmente, propongo un método para regular alternativo al propuesto en la ley que eliminaría gran parte del riesgo de ingresos futuros y haría innecesario calcular la tasa de descuento para tarificar las expansiones del sistema.

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    File URL: http://www.dii.uchile.cl/~cea/sitedev/cea/www/download.php?file=documentos_trabajo/ASOCFILE120030327122556.pdf
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    Paper provided by Centro de Economía Aplicada, Universidad de Chile in its series Documentos de Trabajo with number 138.

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    Date of creation: 2002
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    Handle: RePEc:edj:ceauch:138
    Contact details of provider: Web page: http://www.dii.uchile.cl/cea/

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    1. Eduardo M. R. A. Engel & Ronald D. Fischer & Alexander Galetovic, 2001. "Least-Present-Value-of-Revenue Auctions and Highway Franchising," Journal of Political Economy, University of Chicago Press, vol. 109(5), pages 993-1020, October.
    2. Álvaro Busto & Alexander Galetovic, 2001. "Regulación por empresa eficiente: ¿quién es realmente usted?," Documentos de Trabajo 106, Centro de Economía Aplicada, Universidad de Chile.
    3. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
    4. Christian Gollier, 2004. "The Economics of Risk and Time," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262572249, June.
    5. Robert E. Hall, 1981. "Intertemporal Substitution in Consumption," NBER Working Papers 0720, National Bureau of Economic Research, Inc.
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