Unraveling Volatility Spillovers and Price Dynamics Across Regional Electricity Markets
- Autores: Evelyn Lizeth Chanatasig Niza
- Directores de la Tesis: Aitor Ciarreta Antuñano (dir. tes.), Ainhoa Zarraga Alonso (dir. tes.)
- Lectura: En la Universidad del País Vasco - Euskal Herriko Unibertsitatea ( España ) en 2025
- Idioma: inglés
- Tribunal Calificador de la Tesis: Rebeca Jiménez Rodríguez (presid.), Josu Arteche González (secret.), Ana Iglesias Casal (voc.)
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- Resumen
The global energy system is rapidly transitioning toward a sustainable, affordable, and secure mix, driven by growing energy demand from electrification, industrialization, and economic growth. This transformation places the power sector at the core of decarbonization efforts, requiring resilient, well-integrated electricity markets to maintain stability and ensure efficient resource allocation. Market liberalization since the 1990s¿seen in regions such as Europe, Japan, and Australia¿has fostered competition, improved price formation, optimized cross-border flows, and encouraged investment in grids and renewables. However, market integration also increases vulnerability to volatility spillovers, where local shocks can propagate across regions, raising complexity and uncertainty. This dissertation addresses the challenge of understanding volatility transmission across interconnected electricity markets. Chapter 1 examines nine European markets (2015¿2023) using the Diebold-Yilmaz framework, finding high integration but variation in spillover intensity depending on interconnection levels and renewable penetration. Chapter 2 analyzes Australia¿s National Electricity Market, revealing asymmetric spillovers where upward and downward price movements propagate differently, offering insights for risk management and forecasting. Chapter 3 introduces spatial econometrics to study price formation across five European bidding zones, showing how proximity, interconnection, and renewables shape price dynamics. Together, these analyses contribute to improved market design, forecasting, and policy for a more resilient energy transition.
