Template-Type: ReDIF-Article 1.0
Author-Name: Wellcome Peujio Jiotsop Foze
Author-Email: alfonso.miranda@cide.edu
Author-Workplace-Name: Applied Economics Division, CIDE, Mexico.
Title: Analisis multidimensional del mercado eléctrico mexicano: índice de estres,   eficiencia informacional y modelos de cambio de regimen (2016-2024)
Abstract: Objective:  To  characterize  the  dynamics  of  Mexico’s  Wholesale  Electricity  Market  (MEM)  during  2016-2024  using three complementary tools. Methodology:  An  Electricity  Market  Stress  Index  (EMSI)  is  built  with  static  and  rolling-window  PCA;  informational  efficiency indicators and Markov-switching models with exogenous  variables  are  estimated,  complemented  by  TA R   and AR-GARCH. Results:  The  EMSI  validated  against  three  documented  events  yields  a  dynamic  AUC  of  0.78;  the  three-regime  Markov-switching model is favored by BIC. Limitations:  The  design  is  descriptive  and  does  not  allow  causal  attribution;  supply  and  weather  variables  are  not  incorporated. Originality:  An  EMSI  is  proposed  that  is  validable  against  observable  events,  with  three  regimes  and  exogenous  controls for the MEM. Conclusions:  The  frequency  of  stress  states  increased  between  liberalization  (5.5%)  and  re-centralization  (31.8%),  coinciding  with  contemporaneous  exogenous  shocks.
Classification-JEL: C32, C58, L94, Q41, Q48.
Keywords: electricity  market,  regime-switching  models,  stress index, informational efficiency, energy policy.
Journal: Econoquantum
Pages: 63-82
Volume: 23
Issue: 2	 
Year: 2026
Month: July - December
File-URL: https://econoquantum.cucea.udg.mx/index.php/EQ/article/view/7397/6874
File-Format: Application/pdf
File-URL: https://econoquantum.cucea.udg.mx/index.php/EQ/issue/view/711
Handle: RePEc:qua:journl:v:23:y:2026:i:2:p:63-82