Browsing by Author "Jamasb T"

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    Electricity market crisis in Europe and cross border price effects: A quantile return connectedness analysis
    (Elsevier B V, 2024-07) Do HX; Nepal R; Pham SD; Jamasb T
    As the interconnection of the European electricity markets and integration of renewables progresses, there is little known about interconnectedness across them at times of market turbulence. The electricity crisis of 2021 and 2023 were significant events that can also provide lessons in the behaviour of integrated markets with high renewables under stress. Despite the impacts of the COVID-19 pandemic and the Russia-Ukraine war on the European energy market, little is known about their effects on the transmission of risks between the electricity markets. We employ the quantile connectedness approach to quantify the return connectedness between eleven key European markets, as well as the natural gas and carbon markets. We then examine the effect of the two crises on the interconnectedness. We find significant return interconnectedness, driven by spillover effects, among the markets. Analysis of connectedness across quantiles shows that the spillover effects are much stronger at tail ends of conditional distribution. Moreover, our results reveal opposite effects from crises on market interconnectedness. While the COVID-19 pandemic reduced the interconnectedness, the Russia-Ukraine war intensified the return shock transmission. Finally, we find that the natural gas and carbon markets are net recipients of return shocks across the quantiles.
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    Volatility spillovers and carbon price in the Nordic wholesale electricity markets
    (Elsevier B V, 2024-06) Lyu C; Do HX; Nepal R; Jamasb T
    This paper investigates price volatility and spillovers in the Nordic electricity wholesale markets. We use the Time-Varying Parameter Vector Autoregressive (TVP-VAR), Rolling Window-based VAR (RW-VAR), and high dimensional VAR with common factors (VAR-CF) methods and analyze the integration dynamics among these markets and impact of carbon prices on volatility spillovers. We use 107,352 hourly price data from January 2010 to March 2022. The novelty of this research is four-fold. First, we adopt a connectedness approach to explore volatility interactions among the four Nordic markets, contributing to the scarce literature on volatility in this market. Second, we segment the Norwegian market into southern and northern regions, revealing differences in volatility spillover patterns. Third, we investigate the effect of carbon prices on volatility spillovers and market dynamics. Last, we show significant contribution of covariances to interdependence among markets. We find significant connectedness between the Nordic markets, with an average Total Connectedness Index of between 50% (with a system of variance) and 90% (with a system of both variance and covariance). Sweden is the sole net volatility spillover transmitter, while Denmark experiences the largest shocks from the system. We further find that carbon prices exert a 5% significant impact on the volatility spillover index.