Tail risk connectedness in the Australian National Electricity Markets: The impact of rare events

IF 13.6 2区经济学 Q1 ECONOMICS

Energy Economics Pub Date : 2024-12-19 DOI:10.1016/j.eneco.2024.108123

Son Duy Pham, Hung Xuan Do, Rabindra Nepal, Tooraj Jamasb

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引用次数: 0

Abstract

The tail risks can exhibit different and important features than average measures of risk in interconnected electricity markets. This paper examines the interconnectedness of tail risks within the regionally interconnected Australian National Electricity Market. We use the Conditional Autoregressive Value-at-Risk (CAViaR) and time-varying parameter vector autoregression (TVP-VAR) connectedness approach. Analysing historical data between 01 January 2006 and 04 February 2024. The results show significant levels of connectedness for both negative and positive tail risks, highlighting the dynamic and interdependent nature of these markets. Notably, we identify asymmetries in the transmission of tail risks and their key drivers, including oil market volatility and global geopolitical risks. Our findings show that some regions play a pivotal role in the risk dynamics across the regions of the network and the influence of energy source diversity on risk profiles. The study underscores the complexity of managing the expected increase in tail risks in interconnected electricity markets, emphasizing the need for adaptive, forward-thinking strategies tailored to evolving global and local conditions.

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尾部风险连通性在澳大利亚国家电力市场：罕见事件的影响

在互联电力市场中，尾部风险可能表现出不同于平均风险度量的重要特征。本文考察了区域互联的澳大利亚国家电力市场内尾部风险的互联性。我们使用条件自回归风险值（CAViaR）和时变参数向量自回归（TVP-VAR）连通性方法。分析2006年1月1日至2024年2月4日的历史数据。结果显示，负尾部风险和正尾部风险之间存在显著的连通性，突出了这些市场的动态和相互依赖性质。值得注意的是，我们发现了尾部风险及其主要驱动因素的传导不对称，包括石油市场波动和全球地缘政治风险。我们的研究结果表明，一些区域在整个网络区域的风险动态和能源多样性对风险概况的影响中起着关键作用。该研究强调了管理互联电力市场尾部风险预期增加的复杂性，强调需要根据不断变化的全球和地方条件制定适应性、前瞻性战略。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Energy Economics ECONOMICS-

CiteScore

18.60

自引率

12.50%

发文量

524

期刊介绍： Energy Economics is a field journal that focuses on energy economics and energy finance. It covers various themes including the exploitation, conversion, and use of energy, markets for energy commodities and derivatives, regulation and taxation, forecasting, environment and climate, international trade, development, and monetary policy. The journal welcomes contributions that utilize diverse methods such as experiments, surveys, econometrics, decomposition, simulation models, equilibrium models, optimization models, and analytical models. It publishes a combination of papers employing different methods to explore a wide range of topics. The journal's replication policy encourages the submission of replication studies, wherein researchers reproduce and extend the key results of original studies while explaining any differences. Energy Economics is indexed and abstracted in several databases including Environmental Abstracts, Fuel and Energy Abstracts, Social Sciences Citation Index, GEOBASE, Social & Behavioral Sciences, Journal of Economic Literature, INSPEC, and more.