Market integration among electricity markets and their major fuel source markets

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. 2009 Elsevier B.V. All rights reserved.

authors

• Bessler, David
• Mjelde, James

published proceedings

• ENERGY ECONOMICS

altmetric score

• 3

author list (cited authors)

• Mjelde, J. W., & Bessler, D. A.

citation count

• 82

complete list of authors

• Mjelde, James W||Bessler, David A

publication date

• May 2009

publisher

• Elsevier  Publisher

published in

• Energy Economics  Journal

keywords

• Electricity Prices
• Fuel Prices
• Market Dynamics
• Vecm

Digital Object Identifier (DOI)

• 10.1016/j.eneco.2009.02.002

start page

• 482

end page

• 491

volume

• 31

issue

• 3

URL

• http://dx.doi.org/10.1016/j.eneco.2009.02.002

user-defined tag

• 7 Affordable and Clean Energy