Cointegration analysis of spot electricity prices: insights on transmission efficiency in the western US

Authors
De Vany, AS Walls, WD
Citation
As. De Vany et Wd. Walls, Cointegration analysis of spot electricity prices: insights on transmission efficiency in the western US, ENERG ECON, 21(5), 1999, pp. 435-448
Citations number
11
Categorie Soggetti
Economics
Journal title
ENERGY ECONOMICS
ISSN journal
01409883 → ACNP
Volume
21
Issue
5
Year of publication
1999
Pages
435 - 448
Database
ISI
SICI code
0140-9883(199910)21:5<435:CAOSEP>2.0.ZU;2-W
Abstract
The US Energy Policy Act of 1992 promoted the development of spot markets f or electric power by requiring utilities to open their transmission systems to wholesale power sales. In this paper, we specify and estimate a vector error correction model using peak and off-peak electricity spot prices duri ng 1994-1996 covering II regional markets in the western United States and test these prices for evidence of market integration. The results show evid ence of an efficient and stable wholesale power market. (C) 1999 Elsevier S cience B.V. All rights reserved. JEL classifications: L94; Q4.