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Estimating the volatility of electricity prices: The case of the England and Wales wholesale electricity market

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  • Tashpulatov, Sherzod N.

Abstract

Price fluctuations that partially comove with demand are a specific feature inherent to liberalized electricity markets. The regulatory authority in Great Britain, however, believed that sometimes electricity prices were significantly higher than what was expected and, therefore, introduced price-cap regulation and divestment series. In this study, I analyze how the introduced institutional changes and regulatory reforms affected the dynamics of daily electricity prices in the England and Wales wholesale electricity market during 1990–2001.

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  • Tashpulatov, Sherzod N., 2013. "Estimating the volatility of electricity prices: The case of the England and Wales wholesale electricity market," Energy Policy, Elsevier, vol. 60(C), pages 81-90.
    • Handle: RePEc:eee:enepol:v:60:y:2013:i:c:p:81-90
    DOI: 10.1016/j.enpol.2013.04.045
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    3. Lízal, Lubomír M. & Tashpulatov, Sherzod N., 2014. "Do producers apply a capacity cutting strategy to increase prices? The case of the England and Wales electricity market," Energy Economics, Elsevier, vol. 43(C), pages 114-124.
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    8. Ella Broos & Bernhard Dachs & Martina Dünser & Doris Hanzl-Weiss & Kristof Mertens & Doris Schartinger & Robert Stehrer & Valentijn Vanoeteren, 2016. "EU Wholesale Trade: Analysis of the Sector and Value Chains," wiiw Research Reports 415, The Vienna Institute for International Economic Studies, wiiw.
    9. Sherzod N. Tashpulatov, 2018. "The Impact of Behavioral and Structural Remedies on Electricity Prices: The Case of the England and Wales Electricity Market," Energies, MDPI, vol. 11(12), pages 1-24, December.
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    More about this item

    Keywords

    Electricity prices; Conditional volatility; Regulation;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • L50 - Industrial Organization - - Regulation and Industrial Policy - - - General
    • L94 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Electric Utilities

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