The Impact of Regulatory Reforms on Demand Weighted Average Prices

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21230%2F21%3A00350229" target="_blank" >RIV/68407700:21230/21:00350229 - isvavai.cz</a>

Result on the web

<a href="https://doi.org/10.3390/math9101112" target="_blank" >https://doi.org/10.3390/math9101112</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.3390/math9101112" target="_blank" >10.3390/math9101112</a>

Result language

angličtina

Original language name

The Impact of Regulatory Reforms on Demand Weighted Average Prices

Original language description

Average prices are popularly used in the literature on price modeling. Calculating daily or weekly prices as an average over hourly or half-hourly trading periods assumes the same weight ignoring demand or traded volumes during those periods. Analyzing demand weighted average prices is important if producers may affect prices by decreasing them during low-demand periods and increasing them during high-demand periods within a day. The prediction of this price manipulation might have motivated the regulatory authority to introduce price caps not only on annual average prices but also on annual demand weighted average prices in the England and Wales wholesale electricity market. The dynamics of demand weighted average prices of electricity has been analyzed little in the literature. We show that skew generalized error distribution (SGED) is the appropriate assumption for model residuals. The estimated volatility model is used for evaluating the impact of regulatory reforms on demand weighted average prices during the complete history of the England and Wales wholesale electricity market.

Czech name

—

Czech description

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Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

—

OECD FORD branch

50202 - Applied Economics, Econometrics

Project

—

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2021

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Mathematics

ISSN

2227-7390

e-ISSN

2227-7390

Volume of the periodical

9

Issue of the periodical within the volume

10

Country of publishing house

CH - SWITZERLAND

Number of pages

15

Pages from-to

1-15

UT code for WoS article

000655046800001

EID of the result in the Scopus database

2-s2.0-85106625766