程兴艇,崔达,黄弦超,陈皓轩
CHENG Xingting,CUI Da,HUANG Xianchao,CHEN Haoxuan

• 1:华北电力大学电气与电子工程学院
• 2:国家电网有限公司

摘要(Abstract)：

随着我国省间-省内电力现货市场耦合程度日益紧密，不同市场之间风险溢出的识别成为保障市场稳定运行的关键问题。为此，开展了省间-省内现货市场的价格风险溢出效应研究，分析了省间-省内现货市场价格风险溢出机理，构建了基于DY(Diebold-Yilmaz)溢出指数模型和CoVaR（条件风险价值）模型的分析框架，从市场价格常态波动和极端情况两个维度揭示不同市场间风险溢出特征。算例选取2024年山西省省间和省内现货市场、山东省省内现货市场和浙江省省间现货市场交易电价作为样本，开展不同省份现货市场间价格风险溢出效应的计算分析。结果表明，2024年样本省份现货市场间的价格风险溢出效应呈现显著的非对称性，省内市场间存在较强的双向风险溢出效应，省间-省内市场之间存在有限的风险溢出效应，省间市场间的风险溢出效应最弱。
As the integration between inter-provincial and intra-provincial electricity spot markets in China becomes increasingly tight, identifying risk spillovers across markets has become critical to ensuring stable market operations. This study investigates the mechanisms of price risk spillover and establishes an analytical framework based on the Diebold-Yilmaz(DY) spillover index and the Conditional Value at Risk(CoVaR) model. Risk spillover characteristics are examined from two dimensions: normal price fluctuations and extreme market conditions. Case studies are conducted to calculate and analyze the price risk spillover effects using historical transaction price data for 2024 from the inter-provincial and intra-provincial spot markets in Shanxi Province, the intra-provincial market in Shandong Province, and the inter-provincial market in Zhejiang Province, respectively. The results indicate that price risk spillovers among the sampled markets in 2024 exhibit significant asymmetry: strong bidirectional spillover effects are observed among intra-provincial markets, while limited spillovers exist between inter-provincial and intra-provincial markets. The risk spillover effect among inter-provincial markets is found to be the weakest.

关键词(KeyWords)： 风险溢出效应;DY溢出指数模型;CoVaR模型;电力现货市场
risk spillover effect;Diebold-Yilmaz(DY) spillover index;CoVaR model;electricity spot market

Abstract:

Keywords:

基金项目(Foundation): 国家电网有限公司总部管理科技项目（5108-202455043A-1-1-ZN）

作者(Author): 程兴艇,崔达,黄弦超,陈皓轩
CHENG Xingting,CUI Da,HUANG Xianchao,CHEN Haoxuan

DOI: 10.19585/j.zjdl.202608005

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