Bayesian SUR Heteroskedastic Model for Demand Elasticity Analysis in the Italian Wholesale Electricity Market

Maria Chiara D'Errico

No 20/2015, Working papers of the Department of Economics - University of Perugia (IT) from Università di Perugia, Dipartimento Economia

Abstract: The Italian electricity sector undertook a deregulation process starting in the 2004 that has led to overcome the system of vertically integrated monopoly. This process led to the institution of Power Exchange (IPEX). The transition had not been simple since the definition of a proper market structure preserving competition is not an immediate task. In this context, the information provided by demand elasticity have to be exploited since the elasticity is strictly linked with the market power measured on the supply side. The work want to investigate what is the extent of buyer's elasticity and if buyers can change their consumption profiles within the day given the rational expectation of change in price. The research use a Bayesian approach applying a heteroskedastic SUR regression Model.

Keywords: Demand Elasticity; Bayesian Estimation; Electricity Markets (search for similar items in EconPapers)
JEL-codes: D43 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2015-12-18
New Economics Papers: this item is included in nep-com and nep-ene
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Persistent link: https://EconPapers.repec.org/RePEc:pia:papers:00020/2015

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