Electricity market crisis in Europe and cross border price effects: A quantile return connectedness analysis

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dc.citation.volume135
dc.contributor.authorDo HX
dc.contributor.authorNepal R
dc.contributor.authorPham SD
dc.contributor.authorJamasb T
dc.date.accessioned2024-07-04T19:52:45Z
dc.date.available2024-07-04T19:52:45Z
dc.date.issued2024-07
dc.description.abstractAs 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.
dc.description.confidentialfalse
dc.edition.editionJuly 2024
dc.identifier.citationDo HX, Nepal R, Pham SD, Jamasb T. (2024). Electricity market crisis in Europe and cross border price effects: A quantile return connectedness analysis. Energy Economics. 135.
dc.identifier.doi10.1016/j.eneco.2024.107633
dc.identifier.eissn1873-6181
dc.identifier.elements-typejournal-article
dc.identifier.issn0140-9883
dc.identifier.number107633
dc.identifier.piiS0140988324003414
dc.identifier.urihttps://mro.massey.ac.nz/handle/10179/70090
dc.languageEnglish
dc.publisherElsevier B V
dc.publisher.urihttps://www.sciencedirect.com/science/article/pii/S0140988324003414
dc.relation.isPartOfEnergy Economics
dc.rights(c) 2024 The Author/s
dc.rightsCC BY 4.0
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.subjectNatural gas
dc.subjectEuropean emission allowance
dc.subjectElectricity markets
dc.subjectCOVID-19
dc.subjectRussia-Ukraine war
dc.subjectQuantile connectedness
dc.titleElectricity market crisis in Europe and cross border price effects: A quantile return connectedness analysis
dc.typeJournal article
pubs.elements-id489270
pubs.organisational-groupOther
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