Testing causal relationships between wholesale electricity prices and primary energy prices

Crude oil prices and sectoral stock returns in Jordan around the Arab uprisings of 2010

“…For each pair of standardized residuals (standardized squared residuals), the CCF is used to test the null hypothesis of no causality in mean (variance). This richer methodological framework, as compared to the one employed by Nakajima and Hamori (2013), allows us to seize many of the salient features of the data and to more properly model the conditional mean and variance of the returns series. Misspecification in fitting a GARCH-type model together with an imprecise assumption of the error-term distribution may substantially undermine the efficiency of the related estimators.…”

“…To proceed with the analysis, a methodology approach based on (CCF) cross-correlation function tests from Cheung and Ng (1996) and Hong (2001) is employed. Unlike the traditional causality test of Granger (1980) which suffer from a number of shortcomings that include the inability to test for causality in variance, the model building requirements, and the possible bias akin to omitted variables (Nakajima and Hamori, 2013), our methodology is simpler and allows for testing causalities both in the mean and the variance. More importantly, the CCF-based approach is conducted on standardized residuals and squared residuals of univariate ARMAX-EGARCH 2 models that account easily for the non-normality of the return series and the asymmetric responses to positive and negative shocks, making the construction of less flexible multi-dimensional models unnecessary.…”

“…More importantly, the CCF-based approach is conducted on standardized residuals and squared residuals of univariate ARMAX-EGARCH 2 models that account easily for the non-normality of the return series and the asymmetric responses to positive and negative shocks, making the construction of less flexible multi-dimensional models unnecessary. Similar CCF-based tests were employed by Nakajima and Hamori (2013) in testing causal relationships between wholesale electricity prices, natural gas prices, and crude oil prices. 3 In addition, we conducted several model selection criteria to decide which model has a superior fit, where usually an ad hoc approach has been used.…”

Examination of the Spillover Effects among Natural Gas and Wholesale Electricity Markets Using Their Futures with Different Maturities and Spot Prices

“…The parameters suggest a 1% rise in natural gas prices increases electricity prices by 0.622%.The estimated vector error correction model indicates that natural gas prices Granger cause electricity prices, but not vice versa. Nakajima and Hamori [9] applied Toda and Yamamoto [10], and Cheung and Ng [11] to test the Granger-causal relationships between natural gas prices and electricity prices in the southern USA markets. The results show unidirectional causality in mean from the natural gas market to the electricity market.…”

The Place of Turkey In The Oecd Countries In The Context of Energy Consumption And Energy Prices

“…(2009) tarafından yapılan çalışmanın analiz sonuçları, petrol fiyatlarının ihracat üzerindeki etkisinin anlamlı ve pozitif olduğunu göstermiştir. Başka bir çalışmada ise gaz fiyatları ve toptan elektrik fiyatları arasında tek yönlü bir nedensellik ilişkisi olduğu bulunmuştur (Nakajima, 2013). Bu bağlamda enerjinin üretimi kadar önemli olan bir diğer husus enerji fiyatlarıdır.…”