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Uncovering the nonlinear predictive causality between natural gas and electricity prices

descriptionPublicationkeyboard_double_arrow_right Article , Journal 01 Aug 2018 Spain Publisher:Elsevier BVJournal:Energy Economics, volume 74, pages 904-916 (issn: 0140-9883,

Authors: Jorge M. Uribe; Jorge M. Uribe; Montserrat Guillén; Stephanía Mosquera-López;

doi: 10.1016/j.eneco.2018.07.025

Uncovering the nonlinear predictive causality between natural gas and electricity prices

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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.

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Spain

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Keywords

Indústria del gas, Prices policy, Electric industries, Gas industry, Nonlinear programming, Política de preus, Indústries elèctriques, Programació no lineal

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