Uncovering the nonlinear predictive causality between natural gas and electricity prices

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dc.contributor.authorUribe Gil, Jorge Mario
dc.contributor.authorGuillén, Montserrat
dc.contributor.authorMosquera-López, Stephania
dc.date.accessioned2019-02-18T10:28:34Z
dc.date.available2022-08-31T05:10:21Z
dc.date.issued2018-08
dc.date.updated2019-02-18T10:28:35Z
dc.description.abstractWemeasure 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.
dc.format.extent13 p.
dc.format.mimetypeapplication/pdf
dc.identifier.idgrec685552
dc.identifier.issn0140-9883
dc.identifier.urihttps://hdl.handle.net/2445/128363
dc.language.isoeng
dc.publisherElsevier Ltd
dc.relation.isformatofVersió postprint del document publicat a: https://doi.org/10.1016/j.eneco.2018.07.025
dc.relation.ispartofEnergy Economics, 2018, vol. 74, num. August, p. 904-916
dc.relation.urihttps://doi.org/10.1016/j.eneco.2018.07.025
dc.rightscc-by-nc-nd (c) Elsevier Ltd, 2018
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es
dc.sourceArticles publicats en revistes (Econometria, Estadística i Economia Aplicada)
dc.subject.classificationIndústria del gas
dc.subject.classificationIndústries elèctriques
dc.subject.classificationPolítica de preus
dc.subject.classificationProgramació no lineal
dc.subject.otherGas industry
dc.subject.otherElectric industries
dc.subject.otherPrices policy
dc.subject.otherNonlinear programming
dc.titleUncovering the nonlinear predictive causality between natural gas and electricity prices
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/acceptedVersion

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