Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7404663 | Energy Policy | 2013 | 9 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Energy
Energy Engineering and Power Technology
Authors
Tadahiro Nakajima, Shigeyuki Hamori,