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http://hdl.handle.net/2445/128363| Title: | Uncovering the nonlinear predictive causality between natural gas and electricity prices |
| Author: | Uribe Gil, Jorge Mario Guillén, Montserrat Mosquera-López, Stephania |
| Keywords: | Indústria del gas Indústries elèctriques Política de preus Programació no lineal Gas industry Electric industries Prices policy Nonlinear programming |
| Issue Date: | Aug-2018 |
| Publisher: | Elsevier Ltd |
| Abstract: | Wemeasure the directional predictability between electricity and natural gas prices at different quantiles of their respective price distributions. This reveals significant nonlinearities in the relationship that characterizes the interconnected gas and electricity markets of both NewEngland and Pennsylvania-NewJersey-Maryland.Weidentify a double causality fromgas to electricity and vice versa,which increases as their respectivemarket prices rise. In general, this causality is decidedly higher for both price sets at market values at and above their median. The feedback effect fromelectricity to gas is stronger in the case of NewEngland -where 50% of the power generation mix comprises natural-gas-fired plants - than it is in the case of Pennsylvania-NewJersey-Maryland - where only 24% of the generation mix relies on natural gas sources. |
| Note: | Versió postprint del document publicat a: https://doi.org/10.1016/j.eneco.2018.07.025 |
| It is part of: | Energy Economics, 2018, vol. 74, num. August, p. 904-916 |
| URI: | http://hdl.handle.net/2445/128363 |
| Related resource: | https://doi.org/10.1016/j.eneco.2018.07.025 |
| ISSN: | 0140-9883 |
| Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
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