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Modeling risk contagion in the Italian zonal electricity market

Emmanuel Senyo Fianu (), Daniel Felix Ahelegbey () and Luigi Grossi ()

European Journal of Operational Research, 2022, vol. 298, issue 2, 656-679

Abstract: Ensuring the security of stable, efficient and reliable energy supplies has intensified the interconnections between energy markets. Imbalances between supply and demand due to operational failures, congestion and other sources of risk faced by market connections can lead to a system that is vulnerable to the spread of risk and its spill-over. The main contribution of this paper is the development and estimation of a Bayesian Graphical Vector-AutoRegression and a Bayesian Graphical Structural Equation Modelling with external regressors - BG-VARX and BG-SEMX, respectively - enhancing the proper analysis of market connections.

Keywords: OR in energy; Complex networks; Electricity price volatility; Systemic risk; Zonal electricity market (search for similar items in EconPapers)
Date: 2022
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Working Paper: Modeling Risk Contagion in the Italian Zonal Electricity Market (2020) Downloads
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DOI: 10.1016/j.ejor.2021.06.052

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Handle: RePEc:eee:ejores:v:298:y:2022:i:2:p:656-679