Energy Markets in Transition
On Wednesday 23 May 2018 Evangelos Kyritsis will hold a trial lecture on a prescribed topic and defend his thesis for the PhD degree at NHH.
Prescribed topic for the trial lecture:
The impact of renewable energy on EEX electricity prices – implications for market design and regulation
10:15 in Karl Borch Aud., NHH
Title of the thesis:
Energy Markets in Transition: Renewables, Bounds and Uncertainty: An Econometric Approach
This dissertation examines the era of transition of energy markets using empirical methods. It is organized in four self-containing chapters that focus on the electricity, crude oil and renewable energy sectors.
The first chapter investigates the effects of intermittent solar and wind power generation on the temporal and distributional properties of electricity prices in Germany. The authors conclude that solar power generation reduces the volatility of electricity prices by scaling down the use of peak-load power plants, and that wind power generation increases the volatility of electricity prices by challenging electricity market flexibility. This chapter is co-authored with Jonas Andersson and Apostolos Serletis and is published in Energy Policy.
The second chapter investigates mean and volatility spillovers between the crude oil market and three financial markets in each of the G7 countries and Norway. The authors find significant spillovers between the crude oil and financial markets, and that the prolonged episode of zero lower bound in the aftermath of the global financial crisis strengthens and sometimes introduces new spillovers. This chapter is co-authored with Apostolos Serletis and is published in Research in International Business and Finance.
The third chapter focuses on the relationship between oil prices and the financial performance of the renewable energy sector. In particular, the authors investigate the effects of oil price shocks, and also of uncertainty about oil prices, on the stock returns of clean energy and technology companies. Overall, they find the renewable energy sector resilient to oil price uncertainty, and symmetric responses of stock market returns to oil price shocks of different signs and magnitudes. This chapter is co-authored with Apostolos Serletis.
The fourth chapter investigates the dynamic relationships between crude oil price and a set of energy prices by means of Granger non-causality tests. The authors focus on different ranges of the full conditional distribution within the framework of a dynamic quantile regression model. By doing so, they identify non-linear causal effects and conclude that energy prices are more dependent on each other in extreme conditions. This chapter is co-authored with Jonas Andersson.
12:15 in Karl Borch Aud., NHH
Members of the evaluation committee:
Professor Mette Bjørndal, (leader of the committee), Department of business and management science, NHH
Professor Anne Neumann, University of Potsdam and adjunct professor, Department of business and management science, NHH
Professor Sjur Westgaard, Department of Industrial Economics and Technology Management, NTNU
Professor Jonas Andersson, Department of business and management science, NHH
The trial lecture and thesis defence will be open to the public. Copies of the thesis will be available from email@example.com.