Modeling Risk Contagion in the Italian Zonal Electricity Market
Modeling Risk Contagion in the Italian Zonal Electricity Market
复制标题
意大利区域电力市场风险蔓延建模
DOI：
10.2139/ssrn.2833175
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发表时间：
2020
期刊：
影响因子：
--
通讯作者：
L. Grossi
中科院分区：
文献类型：
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作者：
Emmanuel Senyo Fianu;D. Ahelegbey;L. Grossi
#21453;稳定的安全性，e？可靠、高效的能源供应有多重要？艾德能源市场之间的相互联系。由于这些连接面临的操作故障、故障和其他风险来源造成的供求失衡，可能导致系统容易受到风险扩散和溢出的影响。本文的主要贡献在于通过最近提出的网络模型，以创新的方式，这提高了正确的分析这些市场的连接。意大利能源市场的情况下进行了研究，因为它是一个明显的例子，一个区域市场的风险可以分散在连接的区域。我们估计一天内和跨天的区域市场互连与多变量时间序列的每小时价格，预测需求和风力发电在2010 - 2016年期间，并评估区域市场连接的动态和持久性，检查中央市场和意大利电力市场区域的风险扩散。我们的？结果表明，纯粹基于价格的模型比具有外生回归变量的模型对风险传染做出了更好、更准确的解释，这表明中北部和中南地区的风险传染最严重。分别在意大利能源市场的日内和日间风险传递的枢纽中心地位方面具有典型意义。
Ensuring the security of stable, e?cient, and reliable energy supplies has intensi?ed the interconnections among energy markets. Imbalances between supply and demand due to operational failures, congestions and other sources of risk faced by these connections can lead to a system that is vulnerable to the spread of risk and its spill-over. The main contribution of this paper lies in the adoption of recently proposed network models in an innovative way, which enhances the proper analysis of these market connections. The case of the Italian energy market is studied because it is a clear example of a zonal market where risk can spread across connected zones. We estimate within-day and across-day zonal market interconnections with a multivariate time series of hourly prices, forecast demand and wind generation over the period 2010 – 2016 and evaluate the dynamics and persistence of zonal market connections examining the central market and the spread of risk in the zones of the Italian electricity market. Our ?ndings show that models based purely on prices give a better and more accurate explanation of risk contagion than models with exogenous regressors, revealing that the Central North and Central South zones are the most in?uential in terms of hub centrality for intraday and inter-day risk transmission, respectively, in the Italian energy market.
DOI：
10.5547/01956574.38.5.jber
发表时间：
2017-06
期刊：
The Energy Journal
影响因子：
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作者：
J. Bertsch;T. Brown;Simeon Hagspiel;Lisa Just
通讯作者：
J. Bertsch;T. Brown;Simeon Hagspiel;Lisa Just