Modeling Electricity Price Dynamics Using Flexible Distributions
We consider the wholesale electricity market prices in England and Wales during its complete history, where price-cap regulation and divestment series were introduced at different points in time. We compare the impact of these regulatory reforms on the dynamics of electricity prices. For this purpos...
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| Format: | Article |
| Language: | English |
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MDPI AG
2022-05-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/10/10/1757 |
| _version_ | 1797498138722828288 |
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| author | Sherzod N. Tashpulatov |
| author_facet | Sherzod N. Tashpulatov |
| author_sort | Sherzod N. Tashpulatov |
| collection | DOAJ |
| description | We consider the wholesale electricity market prices in England and Wales during its complete history, where price-cap regulation and divestment series were introduced at different points in time. We compare the impact of these regulatory reforms on the dynamics of electricity prices. For this purpose, we apply flexible distributions that account for asymmetry, heavy tails, and excess kurtosis usually observed in data or model residuals. The application of skew generalized error distribution is appropriate for our case study. We find that after the second series of divestments, price level and volatility are lower than during price-cap regulation and after the first series of divestments. This finding implies that a sufficient horizontal restructuring through divestment series may be superior to price-cap regulation. The conclusion could be interesting to other countries because the England and Wales electricity market served as the benchmark model for liberalizing energy markets worldwide. |
| first_indexed | 2024-03-10T03:29:11Z |
| format | Article |
| id | doaj.art-aa8feed4cb7d43ffb1aa883e51313401 |
| institution | Directory Open Access Journal |
| issn | 2227-7390 |
| language | English |
| last_indexed | 2024-03-10T03:29:11Z |
| publishDate | 2022-05-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Mathematics |
| spelling | doaj.art-aa8feed4cb7d43ffb1aa883e513134012023-11-23T12:02:00ZengMDPI AGMathematics2227-73902022-05-011010175710.3390/math10101757Modeling Electricity Price Dynamics Using Flexible DistributionsSherzod N. Tashpulatov0Department of Economics, Management and Humanities, Faculty of Electrical Engineering, Czech Technical University in Prague, Technická 2, 166 27 Prague, Czech RepublicWe consider the wholesale electricity market prices in England and Wales during its complete history, where price-cap regulation and divestment series were introduced at different points in time. We compare the impact of these regulatory reforms on the dynamics of electricity prices. For this purpose, we apply flexible distributions that account for asymmetry, heavy tails, and excess kurtosis usually observed in data or model residuals. The application of skew generalized error distribution is appropriate for our case study. We find that after the second series of divestments, price level and volatility are lower than during price-cap regulation and after the first series of divestments. This finding implies that a sufficient horizontal restructuring through divestment series may be superior to price-cap regulation. The conclusion could be interesting to other countries because the England and Wales electricity market served as the benchmark model for liberalizing energy markets worldwide.https://www.mdpi.com/2227-7390/10/10/1757electricity priceasymmetryheavy tailsexcess kurtosisvolatilityregulation |
| spellingShingle | Sherzod N. Tashpulatov Modeling Electricity Price Dynamics Using Flexible Distributions Mathematics electricity price asymmetry heavy tails excess kurtosis volatility regulation |
| title | Modeling Electricity Price Dynamics Using Flexible Distributions |
| title_full | Modeling Electricity Price Dynamics Using Flexible Distributions |
| title_fullStr | Modeling Electricity Price Dynamics Using Flexible Distributions |
| title_full_unstemmed | Modeling Electricity Price Dynamics Using Flexible Distributions |
| title_short | Modeling Electricity Price Dynamics Using Flexible Distributions |
| title_sort | modeling electricity price dynamics using flexible distributions |
| topic | electricity price asymmetry heavy tails excess kurtosis volatility regulation |
| url | https://www.mdpi.com/2227-7390/10/10/1757 |
| work_keys_str_mv | AT sherzodntashpulatov modelingelectricitypricedynamicsusingflexibledistributions |