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A Note on the Oil Price Trend and GARCH Shocks

Jing Li and Henry Thompson

Year: 2010
Volume: Volume 31
Number: Number 3
DOI: 10.5547/ISSN0195-6574-EJ-Vol31-No3-8
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Abstract:
This paper investigates the trend in the monthly real price of oil between 1990 and 2008 with a generalized autoregressive conditional heteroskedasticity (GARCH) model. Trend and volatility are estimated jointly with the maximum likelihood estimation. There is long persistence in the variance of oil price shocks, and a GARCH unit root (GUR) test can potentially yield a significant power gain relative to the augmented Dickey-Fuller (ADF) test. After allowing for nonlinearity, the evidence supports a deterministic trend in the price of oil. The deterministic trend implies that influence of a price shock is transitory and policy efforts to restore a predictable price after a shock would be unwarranted in the long run.



The Role of Continuous Intraday Electricity Markets: The Integration of Large-Share Wind Power Generation in Denmark

Fatih Karanfil and Yuanjing Li

Year: 2017
Volume: Volume 38
Number: Number 2
DOI: 10.5547/01956574.38.2.fkar
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Abstract:
This paper suggests an innovative idea to examine the functionality of an intraday electricity market by testing causality among its fundamental components. Using Danish and Nordic data, it investigates the main drivers of the price difference between the intraday and day-ahead markets, and causality between wind forecast errors and their counterparts. Our results show that the wind and conventional generation forecast errors significantly cause the intraday price to differ from the day-ahead price, and that the relative intraday price decreases with the unexpected amount of wind generation. Cross-border electricity exchanges are found to be important to handle wind forecast errors. Additionally, some zonal differences with respect to both causality and impulse responses are detected. This paper provides the first evidence on the persuasive functioning of the intraday market in the case of Denmark, whereby intermittent production deviations are effectively reduced, and wind forecast errors are jointly handled through the responses from demand, conventional generation, and intraday international electricity trade.



Time-of-Use Electricity Pricing and Residential Low-carbon Energy Technology Adoption

Jing Liang, Pengfei Liu, Yueming Qiu, Yi David Wang, and Bo Xing

Year: 2020
Volume: Volume 41
Number: Number 3
DOI: 10.5547/01956574.41.2.jlia
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Abstract:
This paper provides the first empirical evidence on the correlation between Time-Of-Use (TOU) electricity pricing and the adoption of energy efficient appliances and solar panels. We use household-level data in Phoenix, Arizona from an appliance saturation survey of about 16,000 customers conducted by a major electric utility. Our empirical results show that TOU consumers are associated with 27% higher likelihood to install solar panels but not more likely to adopt energy-efficient air conditioning based on the propensity score matching and coarsened exact matching methods. The findings highlight that policy makers could combine TOU and solar panels when implementing educational programs or when giving out financial incentives to consumers. Our results imply that TOU is associated with a similar impact of the incentive offered by $2,070~$10,472 tax credits or rebates on solar adoption.





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