Tail Risk from Extreme Temperature in an Integrated Northeastern American Low- Carbon Electricity System

Anson T. Y. Ho, Adrien Desroziers (), Kim P. Huynh and Marcel-Cristian Voia ()
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Anson T. Y. Ho: Ted Rogers School of Management
Adrien Desroziers: LEO - Laboratoire d'Économie d'Orleans [2022-...] - UO - Université d'Orléans - UT - Université de Tours - UCA - Université Clermont Auvergne
Kim P. Huynh: LEO - Laboratoire d'Économie d'Orleans [2022-...] - UO - Université d'Orléans - UT - Université de Tours - UCA - Université Clermont Auvergne, Department of Economics, Indiana University - Indiana University [Bloomington] - Indiana University System
Marcel-Cristian Voia: LEO - Laboratoire d'Économie d'Orleans [2022-...] - UO - Université d'Orléans - UT - Université de Tours - UCA - Université Clermont Auvergne

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Abstract: Cross-border electricity trade in the Northeastern American grid helps U.S. markets mitigate structural deficits in low-carbon generation capacity. These deficits are partially offset by surplus exports from Québec (hydropower) and Ontario (nuclear generation). We use a Vine copula to assess the nonlinear interdependence of these markets.Using hourly data from 2019-2023, we estimate the joint lower tail of regional net lowcarbon surpluses. In the unconditional distribution, the 5% Value-at-Risk (VaR) indicates an aggregate deficit of -1.3% of low-carbon generation. Regional VaR estimates reveal pronounced asymmetries as U.S. shortfalls exceed local low-carbon generation by about 130-178%. While Canadian regions are substantially less exposed in the lower tail. On heat-wave days, the aggregate deficit is -1.8% with the U.S. regional shortfalls about 200-250%. As heat waves increase in frequency and intensity, there will be an increase reliance on fossil fuels during electricity shortfalls.

Keywords: JEL classification: D24; F18; Q21; Q47; Q56 Low-Carbon Electricity Climate Resilience Hydropower Copula Value at risk; Q56 Low-Carbon Electricity; Climate Resilience; Hydropower; Copula; Value at risk (search for similar items in EconPapers)
Date: 2026-05-03
Note: View the original document on HAL open archive server: https://hal.science/hal-05609949v1
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Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-05609949

DOI: 10.5281/zenodo.20007696

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