Market integration among electricity markets and their major fuel source markets

James W. Mjelde and David Bessler ()

Energy Economics, 2009, vol. 31, issue 3, 482-491

Abstract: Dynamic price information flows among U.S. electricity wholesale spot prices and the prices of the major electricity generation fuel sources, natural gas, uranium, coal, and crude oil, are studied. Multivariate time series methods applied to weekly price data show that in contemporaneous time peak electricity prices move natural gas prices, which in turn influence crude oil. In the long run, price is discovered in the fuel sources market (except uranium), as these prices are weakly exogenous in a reduced rank regression representation of these energy prices.

Keywords: VECM; Market; dynamics; Electricity; prices; Fuel; prices (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (71)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:31:y:2009:i:3:p:482-491

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