Testing causal relationships between wholesale electricity prices and primary energy prices
2013
Nakajima, Tadahiro | Hamori, Shigeyuki
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.
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书目信息
出版者
Elsevier Ltd
其它主题
Electricity costs; Primary energy price; Primary energy; Electricity price; Causality test; Variance
语言
英语
类型
Journal Article; Text
2024-02-29
MODS