Testing causal relationships between wholesale electricity prices and primary energy prices

被引：20

作者：

Nakajima, Tadahiro ^{[1
]}

Hamori, Shigeyuki ^{[2
]}

机构：

[1] Kansai Elect Power Co Inc, Kita Ku, Osaka 5308270, Japan

[2] Kobe Univ, Fac Econ, Nada Ku, Kobe, Hyogo 6578501, Japan

来源：

ENERGY POLICY | 2013年 / 62卷

关键词：

Electricity price; Primary energy price; Causality test; NATURAL-GAS MARKETS; FUTURES PRICES;

D O I：

10.1016/j.enpol.2013.07.033

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We apply the lag-augmented vector autoregression technique to test the Granger-causal relationships among wholesale electricity prices, natural gas prices, and crude oil prices. In addition, by adopting a cross-correlation function approach, we test not only the causality in mean but also the causality in variance between the variables. The results of tests using both techniques show that gas prices Granger-cause electricity prices in mean. We find no Granger-causality in variance among these variables. (C) 2013 Elsevier Ltd. All rights reserved.

引用

页码：869 / 877

页数：9

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