Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1002307 | Research in International Business and Finance | 2012 | 16 Pages |
Abstract
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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Related Topics
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Business, Management and Accounting
Business and International Management
Authors
Tadahiro Nakajima, Shigeyuki Hamori,