The Impact of Regulatory Reforms on Demand Weighted Average Prices

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

The Impact of Regulatory Reforms on Demand Weighted Average Prices

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

The Impact of Regulatory Reforms on Demand Weighted Average Prices

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2021

Kód důvěrnosti údajů

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

Název periodika

Mathematics

ISSN

2227-7390

e-ISSN

2227-7390

Svazek periodika

9

Číslo periodika v rámci svazku

10

Stát vydavatele periodika

CH - Švýcarská konfederace

Počet stran výsledku

15

Strana od-do

1-15

Kód UT WoS článku

000655046800001

EID výsledku v databázi Scopus

2-s2.0-85106625766