Examinando por Autor "Uribe Gil, Jorge Mario"

Mostrando 1 - 3 de 3
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    Ítem
    Nonlinear market liquidity: an empirical examination
    (Elsevier Inc., 2023-01-10) Chuliá, Helena; Mosquera López, Stephanía ; Uribe Gil, Jorge Mario
    We offer novel indicators of market-wide liquidity. Previous literature uses averages of individual liquidity indicators to track the evolution of market-wide liquidity. Instead, we focus on the tails of the market liquidity distribution. First, we construct aggregate liquidity indicators using low and high quantiles of six liquidity measures (total volume, number of trades, effective spread, realized spread, price impact and lambda). Our results show that market conditions have an asymmetric impact on the tails of the liquidity distribution. In the second part of the study, we test for nonlinearity of the effects of market determinants on market liquidity.
  • Miniatura
    Ítem
    Time-varying systemic risk in electricity markets using generative adversarial networks: market resilience and policy
    (Elsevier Ltd, 2026-03) Bohórquez Correa, Santiago ; Mosquera López, Stephanía ; Uribe Gil, Jorge Mario
    Current frameworks and policy instruments for monitoring and regulating European electricity markets fall short of fully addressing the complexities that arise during periods of market distress. Our study makes two key contributions in this area: First, it provides a novel, integrative analysis of systemic risk across 25 energy markets, encompassing oil, natural gas, and coal, as well as 21 European electricity markets. Second, it introduces Time Series Generative Adversarial Networks to systemic risk literature, enabling real-time tracking of market resilience. Our findings show that systemic distress in European electricity markets was higher in Q3 2021 than in late 2021 and early 2022, despite record-high electricity prices in the latter period, which many assumed reflected maximum market distress. This suggests that policy interventions enacted at the end of 2021 effectively reduced systemic distress in European electricity markets. However, fossil fuel markets reached a peak in risk during the first quarter of 2022, underscoring energy security concerns for Europe due to its reliance on foreign fuel sources, as prices are set in a global rather than regional context. Our modeling framework offers a tool to assess such risks in real time, providing valuable insights for proactive policymaking in the European energy sector.
  • Miniatura
    Ítem
    Weather conditions, climate change, and the price of electricity
    (Elsevier B.V., 2024-07-23) Mosquera López, Stephanía; Uribe Gil, Jorge Mario; Joaqui Barandica, Orlando
    We estimate the effect of temperature, wind speed, solar radiation, and precipitation on wholesale electricity prices for six European countries, analyzing the full distribution of the weather variables. We provide evidence on nonlinear and extreme weather effects on electricity prices. In all countries, reductions in temperature below a certain threshold increase electricity prices, yet these thresholds tend to be lower for colder countries than for warmer ones. In addition, warmer countries have an upper threshold above which temperatures also increase prices. The precipitation threshold is near the maximum for countries with limited hydroelectric generation and much lower for others with high hydropower capacity, such as Norway. Wind speed has a similar effect on electricity prices across countries, while irradiance has a statistically significant effect in countries with the highest solar capacity and higher average irradiance. Ultimately, the impact of weather conditions on electricity prices is influenced by a country's initial climatic conditions, generation mix, policies, energy efficiency levels, and behavioral factors. Policies aimed at reducing the disproportionately negative impacts of climate change on vulnerable populations should ideally be informed by accurate quantification of the impact of weather on electricity prices.