Ekonometrické modelování vývoje ceny elektřiny v ČR

Abstract

In today's era, there are significant changes occurring in the energy market, both in terms of structure and development over time. The presented master's thesis will focus on the current topic of electricity price modeling. The aim of the thesis is to model the electricity price in the the Czech Republic for half-yearly data covering the period from the 1st half of 2008 to the 1st half of 2023. Econometric modeling will be based on time analysis of the influence of key and selected determinants. Determinants were selected based on the analysis of available literature and data availability. Based on the initial analysis of the selected data, the examination of econometric models was found to be in two groups according to the transformation of variables, namely regression models in absolute first differences and regression models in relative growth rates. Based on estimating the regression models using robust variance estimation method and after statistical verification, two variants of regression models were arrived at in each group. This was followed by an economic verification of these models, with an economic interpretation of the obtained results. The end of the empirical part of the thesis concluded with discussing the advantages and disadvantages of the given models and their potential applications. It was revealed that the key factors in modeling electricity prices in the Czech Republic were interest rates and gas prices, while the obtained results were in accordance with the professional literature.