Causality-in-mean and causality-in-variance among electricity prices, crude oil prices, and yen-US dollar exchange rates in Japan

Research in International Business and Finance

Volumn 26, Issue 3, 2012, Pages 371-386

  Nakajima, Tadahiro ^a   Hamori, Shigeyuki ^b  

^a KANSAI ELECTRIC POWER CO   (Japan)

^b KOBE UNIVERSITY   (Japan)

Author keywords

Crude oil price; Electricity price; Exchange rate; Granger causality; Market efficiency

Indexed keywords

EID: 84859020987     PISSN: 02755319     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ribaf.2012.03.001     Document Type: Article

References (29)

1. Amavilah V.H.S. The capitalist world aggregate supply and demand model for natural uranium. Energy Econ. 1995, 17(3):211-220.
2. Asche F., Osmundsen P., Sandsmark M. The UK market for natural gas, oil and electricity: are the prices decoupled?. Energy J. 2006, 27(2):27-40.
3. Brown S.P.A., Yücel M.K. Deliverability and regional pricing in US natural gas markets. Energy Econ. 2008, 30:2441-2453.
4. Cheung Y.W., Ng L.K. A causality-in-variance test and its application to financial market prices. J. Econometrics 1996, 72:33-48.
5. Emery G.W., Liu Q. An analysis of the relationship between electricity and natural-gas futures prices. J. Futures Markets 2002, 22(2):95-122.
6. Engle R.F., Granger C.W.J. Co-integration and error correction. Representation, estimation and testing. Econometrica 1987, 55(2):251-276.
7. Federation of Electric Power Companies of Japan, 15 January 2012. Electricity Review Japan 2011. http://www.fepc.or.jp/english/library/electricity_eview_japan/__icsFiles/afieldfile/2011/01/28/ERJ2011_full.pdf.
8. Federation of Electric Power Companies of Japan, 12 February 2011. Fair Competition Transparency. http://www.fepc.or.jp/english/energy_electricity/fair_competition/index.html.
9. Granger C.W.J. Investigating causal relations by econometric models and cross-spectral methods. Econometrica 1969, 37(3):424-438.
10. Hatemi-J A., Irandoust M. The dynamic interaction between volatility and returns in the US stock market using leveraged bootstrap simulations. Res. Int. Bus. Financ. 2011, 25:329-334.
11. Inagaki K. Testing for volatility spillover between the British pound and the euro. Res. Int. Bus. Financ. 2007, 21:161-174.
12. Japan Electric Power Exchange, 15 November 2011. The Spot Transaction Index from April 2005. http://www.jepx.org/pdf/market/Index/Index_2005.xls.
13. Japan Electric Power Exchange, 15 November 2011. The Spot Transaction Index from April 2006. http://www.jepx.org/pdf/market/Index/Index_2006.xls.
14. Japan Electric Power Exchange, 15 November 2011. The Spot Transaction Index from April 2007. http://www.jepx.org/pdf/market/Index/Index_2007.xls.
15. Japan Electric Power Exchange, 15 November 2011. The Spot Transaction Index from April 2008. http://www.jepx.org/pdf/market/Index/Index_2008.xls.
16. Japan Electric Power Exchange, 15 November 2011. The Spot Transaction Index from April 2009. http://www.jepx.org/pdf/market/Index/Index_2009.xls.
17. Japan Electric Power Exchange, 15 November 2011. The Spot Transaction Index from April 2010. http://www.jepx.org/pdf/market/Index/Index_2010.xls.
18. Japan Electric Power Exchange, 15 November 2011. The Spot Transaction Index from April 2011. http://www.jepx.org/pdf/market/Index/Index_2011.xls.
19. Kitamura Y. Testing for intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc markets. Res. Int. Bus. Financ. 2010, 24:158-171.
20. Mjelde J.W., Bessler D.A. Market integration among electricity markets and their major fuel source markets. Energy Econ. 2009, 31:482-491.
21. Mohammadi H. Electricity prices and fuels costs: long-run relations and short-run dynamics. Energy Econ. 2009, 31:503-509.
22. Mukherjee K., Mishra R.K. Stock market integration and volatility spillover: India and its major Asian counterparts. Res. Int. Bus. Financ. 2010, 24:235-251.
23. Muñoz M.P., Dickey D.A. Are electricity prices affected by the US dollar to Euro exchange rate? The Spanish case. Energy Econ. 2009, 31:857-866.
24. Nakajima T. The residential demand for electricity in Japan: an examination using empirical panel analysis techniques. J. Asian Econ. 2010, 21:412-420.
25. Nelson D.B. Conditional heteroskedasticity in asset returns: a new approach. Econometrica 1991, 59(2):347-370.
26. Serletis A., Herbert J. The message in North American energy prices. Energy Econ. 1999, 21:471-483.
27. US Department of Energy's Energy Information Administration, 15 November 2011. Europe Brent Spot Price FOB. http://www.eia.gov/dnav/pet/hist_xls/RBRTEd.xls.
28. Woo C.K., Olson A., Horowitz I., Luk S. Bi-directional causality in California's electricity and natural-gas markets. Energy Policy 2006, 34:2060-2070.
29. Yahoo! JAPAN Finance, 15 November 2011. Historical Data (Yen-to-US-Dollar Exchange Rates). http://table.yahoo.co.jp/t%3Fs=USDJPY=X%26g=d.