Measuring the connectedness of European electricity markets using the network topology of variance decompositions

Binqing Xiao, Ye Yang, Xuerong Peng and Libing Fang

Physica A: Statistical Mechanics and its Applications, 2019, vol. 535, issue C

Abstract: The United Kingdom’s 2016 decision to exit the European Union (Brexit)has emphasized the need to comprehend systemic risk in Europe. The liberalization of the European electricity markets has drawn much attention. This study uses the network topology of variance decompositions to research the connectedness of the European electricity markets. Our results show that the European electricity markets experienced relatively high connectedness during the sample period from 2013 to the end of 2017. The analysis of the network connectedness suggests that regulators could identify the markets that most threaten system stability.

Keywords: Risk measurement; European electricity markets; Connectedness; Variance decompositions (search for similar items in EconPapers)
JEL-codes: C53 C58 G17 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:535:y:2019:i:c:s0378437119313172

DOI: 10.1016/j.physa.2019.122279

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