| ID | 125789 |
| Title Proper | Testing causal relationships between wholesale electricity prices and primary energy prices |
| Language | ENG |
| Author | Nakajima, Tadahiro ; Hamori, Shigeyuki |
| Publication | 2013. |
| Summary / Abstract (Note) | 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. |
| `In' analytical Note | Energy Policy Vol.62; Nov 2013: p.869-877 |
| Journal Source | Energy Policy Vol.62; Nov 2013: p.869-877 |
| Key Words | Electricity Price ; Primary Energy Price ; Causality Test |