Italian Electricity Prices: a Bayesian Approach

Abstract

The Italian Power System is characterized by the presence of six electricity zones. The aim of the thesis is to evaluate zonal interdependence, from a cross section and time variations point of view. Given the high number of parameters to be examined, the computing tool used is the Bayesian approach, which is useful to avoid the problem of over-parameterization. The model is applied to equilibrium electricity spot prices of the Italian Wholesale Market; lagged prices and zonal temperatures are included as independent variables. “Fourier Spectral Analysis” is another important tool used to overcome the presence of seasonalities.