Causality-in-mean and causality-in-variance among electricity prices, crude oil prices, and yen–US dollar exchange rates in Japan

In this study, we test the Granger-causality-in-mean and Granger-causality-in-variance among electricity prices, crude oil prices, and yen-to-US-dollar exchange rates in Japan using a cross-correlation function approach. We find Granger-causality-in-mean from neither the exchange market nor the oil market to the power market; the same was true of Granger-causality-in-variance, although both the exchange rates and oil prices greatly influence power generation costs in Japan. We suspect the efficiency of this market is at play.

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