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Informational Efficiency and Interchange Transactions in Alberta's Electricity Market

Apostolos Serletis and Mattia Bianchi

Year: 2007
Volume: Volume 28
Number: Number 3
DOI: 10.5547/ISSN0195-6574-EJ-Vol28-No3-7
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Abstract:
This paper aims to investigate the informational efficiency of the Alberta electricity market and also the issue of whether interchange transactions (power flows between markets) are becoming increasingly significant factors in electric power markets. In doing so, we use hourly data for all hours, peak hours, and off-peak hours over the period from January 1st, 1999 to July 31st, 2005. In testing the efficiency of the Alberta power market, we use a statistical physics approach � namely the �detrending moving average (DMA)� technique, introduced by Alessio et al. (2002) and further developed by Carbone et al. (2004a, 2004b), and recently applied to energy futures markets by Serletis and Rosenberg (2007). In analyzing the relationship between power imports and exports and pool prices, we assess whether regulatory changes have modified the causal relationship between import/export volumes and the pool price. According to our results, the electricity market in Alberta is highly inefficient and cross-border trade of electricity between Alberta and neighbouring jurisdictions helps predict the price dynamics in Alberta�s electricity market.



Large Oil Shocks and the US Economy: Infrequent Incidents with Large Effects

Marc Gronwald

Year: 2008
Volume: Volume 29
Number: Number 1
DOI: 10.5547/ISSN0195-6574-EJ-Vol29-No1-7
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Abstract:
This paper considers the macroeconomics of the oil price for the United States. It investigates the impact of large oil price hikes in a standard VAR framework by introducing a new Markov switching based oil price specification. The explanatory power of this new specification is compared to that of a number of prominent non-linear specifications. The key findings are: (1) the new oil price specification is appropriate in both empirical and theoretical terms and allows for a well-founded distinction between �large� and �normal� oil price increases. (2) The observed impact of oil price shocks on real GDP growth is largely attributable to no fewer than three large oil price increases, namely those of 1973-74, 1979 and 1991, while variables such as consumer and import prices are also affected by normal oil price increases.



Understanding the Crude Oil Price: How Important Is the China Factor?

Xiaoyi Mu and Haichun Ye

Year: 2011
Volume: Volume 32
Number: Number 4
DOI: 10.5547/ISSN0195-6574-EJ-Vol32-No4-5
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Abstract:
This paper employs monthly data on China's net oil import from January 1997 to June 2010 to assess the role of China's net import in the evolution of the crude oil price. Based on a vector autoregression (VAR) analysis, we find that the growth of China's net oil import has no significant impact on monthly oil price changes and there is no Granger causality between the two variables. The historical decomposition indicates that shocks to China's oil demand have only played a small role in the oil price run-up of 2002-2008. We also calculate the price changes implied by China's net oil import growth from a longer-term supply and demand shift perspective.



Is There Really Granger Causality Between Energy Use and Output?

Stephan B. Bruns, Christian Gross and David I. Stern

Year: 2014
Volume: Volume 35
Number: Number 4
DOI: 10.5547/01956574.35.4.5
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Abstract:
We carry out a meta-analysis of the very large literature on testing for Granger causality between energy use and economic output to determine if there is a genuine effect in this literature or whether the large number of apparently significant results is due to publication or misspecification bias. Our model extends the standard meta-regression model for detecting genuine effects in the presence of publication biases using the statistical power trace by controlling for the tendency to over-fit vector autoregression models in small samples. Granger causality tests in these over-fitted models have inflated type I errors. We cannot find a genuine causal effect in the literature as a whole. However, there is a robust genuine effect from output to energy use when energy prices are controlled for.





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