Empirical study on energy prices volatility of China during 1980-2010

Minggang Wang, Zihao Tian and Lixin Tian

International Journal of Global Energy Issues, 2015, vol. 38, issue 1/2/3, 145-163

Abstract: This paper studies the oil, coal and power prices volatility of China based on grey relational analysis, factor analysis and partial least squares analysis. Firstly, we introduce the concept of the amended grey relational grade. Secondly, the history of Chinese economy is divided into four periods. And the relations between oil, coal and power prices are examined by applying the amended grey relational grade. Thirdly, using factor analysis model, we obtain the amended grey relational grade between supply and demand, general commodity prices, economic development, government monetary policy and energy prices are 0.8727, 0.7041, 0.6275 and 0.7451, respectively. Finally, we calculate the fluctuating relational grades between the affect factors and the three energy prices by applying PLS analysis, the results show that the relational grades between the affect factors and oil, coal, power prices are −0.5619∼0.9478, −0.3629∼0.9337, −0.5681∼0.4693, respectively.

Keywords: oil prices; coal prices; power prices; grey relational analysis; GRA; factor analysis; partial least squares; PLS; energy prices; price volatility; China. (search for similar items in EconPapers)
Date: 2015
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