Shocks affecting electricity prices in Kenya, a fractional integration study

Gil-Alana, Luís A.; Mudida, Robert; Cárcel, Héctor

doi:10.1016/j.energy.2017.02.092

Cited by 14 publications

(8 citation statements)

References 35 publications

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“…Finally, regarding the specific usage of fractional integration in the context of energy, there are some studies that have used this methodology, including the contributions of Elder and Serletis [ 32 ] regarding energy future prices, Barros et al [ 33 ] focusing on U.S. renewable energy consumption, Weron [ 20 , 34 ] and Gil-Alana et al [ 35 ] in the field of electricity prices, and Barros et al [ 36 ] on energy prices.…”

Section: Literature Reviewmentioning

confidence: 99%

The relationship between energy consumption and prices. Evidence from futures and spot markets in Spain and Portugal

Gil-Alana

Martín-Valmayor

2020

Energy Strategy Reviews

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Slow economic recovery, market concentration, and scant alternative energy sources make the Iberian energy market quite idiosyncratic when compared to the rest of the EU. This paper focusses on the Iberian energy market by dealing with the analysis of the relationship between energy consumption and energy prices by using fractional integration in the Iberian market. This technique is used in order to examine the degree of persistence of the series, looking at the spot and futures markets in Spain and Portugal. The results indicate that all the series are fractionally integrated, showing long memory and mean reverting behaviour. Moreover, a close relation between energy consumption and energy prices is found in the spot market whereas it is not found in the futures market. In fact, there is a weak relationship between the futures market and energy consumption. However, regarding energy pricing, the relationship is stronger but with the spot market itself.

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Section: Literature Reviewmentioning

confidence: 99%

The relationship between energy consumption and prices. Evidence from futures and spot markets in Spain and Portugal

Gil-Alana

Martín-Valmayor

2020

Energy Strategy Reviews

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“…The positive impact of fossil fuel prices as well as carbon emission prices on electricity prices has been verified in empirical studies in various countries [6][7][8][9]. Both fossil fuel and carbon emission allowances remain an important part of the cost of power generation worldwide at this stage.…”

Section: Introductionmentioning

confidence: 86%

Spillover Effects among Electricity Prices, Traditional Energy Prices and Carbon Market under Climate Risk

Liu¹,

Liu²,

Guo

et al. 2023

IJERPH

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With the increase in global geopolitical risks and the frequent occurrence of extreme climate in recent years, the electricity prices in Europe have shown large fluctuations. Electricity price has an important impact on the cost of production and living, while electricity demand will also affect other energy markets. A double-layer system based on the spillover effects from a systematic perspective is constructed in this paper to explore the connectedness between different electricity markets and other related energy markets in Europe, considering the impact of climate risks. The results show that there are certain spillover effects among electricity markets in different countries, with a temporary upward trend in the beginning of the Russia–Ukraine conflict, and the electricity markets in the UK and Germany have a more important role in Europe. There are two-way spillover effects between the electricity market and fossil fuel markets, carbon market and carbon emission. Since 2022, the electricity market is affected by gas prices, while it has a certain impact on carbon emissions. The heating degree day (HDD) has significant spillover effects on the electricity market and other energy markets, while the spillover effects of the cooling degree day (CDD) are relatively small.

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“…This long memory feature has been observed in time series data referring to many different disciplines, including economics and finance [7][8][9], energy [10][11][12][13], tourism [14,15], environmental issues [16] and climatology [3,[17][18][19] among many others.…”

Section: Methodology and Data: Long Memorymentioning

confidence: 99%

Time Trends and Persistence in the Snowpack Percentages by Watershed in Colorado

Gil-Alana¹

2021

Weather Forecasting

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In this paper we investigate the time trend coefficients in snowpack percentages by watershed in Colorado, US, allowing for the possibility of long range dependence or long memory processes. Nine series corresponding to the following watersheds are examined: Arkansas, Colorado, Gunnison, North Platte, Rio Grande, South Platte, San Juan-Animas-Dolores-San Miguel, Yampa & White and Colorado Statewide, based on annual data over the last eighty years. The longest series start in 1937 and all end in 2019. The results indicate that most of the series display a significant decline over time, showing negative time trend coefficients, and thus supporting the hypothesis of climate change and global warming. Nevertheless, there is no evidence of a long memory pattern in the data.

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Shocks affecting electricity prices in Kenya, a fractional integration study

Cited by 14 publications

References 35 publications

The relationship between energy consumption and prices. Evidence from futures and spot markets in Spain and Portugal

The relationship between energy consumption and prices. Evidence from futures and spot markets in Spain and Portugal

Spillover Effects among Electricity Prices, Traditional Energy Prices and Carbon Market under Climate Risk

Time Trends and Persistence in the Snowpack Percentages by Watershed in Colorado

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