Testing causal relationships between wholesale electricity prices and primary energy prices

Tadahiro Nakajima and Shigeyuki Hamori

Energy Policy, 2013, vol. 62, issue C, 869-877

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: Electricity price; Primary energy price; Causality test (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (20)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:enepol:v:62:y:2013:i:c:p:869-877

DOI: 10.1016/j.enpol.2013.07.033

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