Tail risk connectedness in the Australian National Electricity Markets: The impact of rare events

Pham SD; Do HX; Nepal R; Jamasb T

Tail risk connectedness in the Australian National Electricity Markets: The impact of rare events

dc.citation.volume	141
dc.contributor.author	Pham SD
dc.contributor.author	Do HX
dc.contributor.author	Nepal R
dc.contributor.author	Jamasb T
dc.date.accessioned	2025-01-22T19:35:29Z
dc.date.available	2025-01-22T19:35:29Z
dc.date.issued	2024-12-25
dc.description.abstract	The tail risks can exhibit different and important features than average measures of risk in interconnected electricity markets. This paper examines the interconnectedness of tail risks within the regionally interconnected Australian National Electricity Market. We use the Conditional Autoregressive Value-at-Risk (CAViaR) and time-varying parameter vector autoregression (TVP-VAR) connectedness approach. Analysing historical data between 01 January 2006 and 04 February 2024. The results show significant levels of connectedness for both negative and positive tail risks, highlighting the dynamic and interdependent nature of these markets. Notably, we identify asymmetries in the transmission of tail risks and their key drivers, including oil market volatility and global geopolitical risks. Our findings show that some regions play a pivotal role in the risk dynamics across the regions of the network and the influence of energy source diversity on risk profiles. The study underscores the complexity of managing the expected increase in tail risks in interconnected electricity markets, emphasizing the need for adaptive, forward-thinking strategies tailored to evolving global and local conditions.
dc.description.confidential	false
dc.edition.edition	January 2025
dc.identifier.citation	Pham SD, Do HX, Nepal R, Jamasb T. (2025). Tail risk connectedness in the Australian National Electricity Markets: The impact of rare events. Energy Economics. 141.
dc.identifier.doi	10.1016/j.eneco.2024.108123
dc.identifier.eissn	1873-6181
dc.identifier.elements-type	journal-article
dc.identifier.issn	0140-9883
dc.identifier.number	108123
dc.identifier.pii	S0140988324008326
dc.identifier.uri	https://mro.massey.ac.nz/handle/10179/72398
dc.language	English
dc.publisher	Elsevier B.V.
dc.publisher.uri	https://www.sciencedirect.com/science/article/pii/S0140988324008326
dc.relation.isPartOf	Energy Economics
dc.rights	(c) 2024 The Author/s
dc.rights	CC BY 4.0
dc.rights.uri	https://creativecommons.org/licenses/by/4.0/
dc.subject	Australia
dc.subject	CAViaR
dc.subject	Electricity markets
dc.subject	Tail risk
dc.subject	TVP-VAR connectedness
dc.title	Tail risk connectedness in the Australian National Electricity Markets: The impact of rare events
dc.type	Journal article
pubs.elements-id	493319
pubs.organisational-group	Other