Correlation between Chinese and international energy prices based on a HP filter and time difference analysis |
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| Affiliation: | 1. School of Economics and Management, North China Electric Power University, Zhu Xin Zhuang, Bei Nong Road No. 2, Changping District, Beijing 102206, China;2. Decision and Information Sciences Division, Argonne National Laboratory, 9700 S. Cass Avenue, Argonne, IL, USA;3. School of Economics and Management, Shanghai University of Electric Power, Ping Yang Road No. 2103, Yangpu District, Shanghai, China;4. Gansu Electric Power Corporation, Xi Jing Dong Road No. 628, Qilihe District, Lanzhou, China;1. School of Finance, Zhongnan University of Economics and Law, Wuhan 430073, China;2. Center for Energy and Environmental Policy research, Institute of Policy and Management, Chinese Academy of Sciences, Beijing 100190, China;3. School of Economics & Management, Beihang University, Beijing 100191, China;1. College of Economics and Administrative Sciences, Al-Imam Muhammad Ibn Saud Islamic University, Riyadh, Saudi Arabia;2. College of Business Administration, Prince Sultan University, Riyadh, Saudi Arabia |
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| Abstract: | To establish a reasonable system and mechanism for Chinese energy prices, we use the Granger causality test, Hodrick–Prescott (HP) filter and time difference analysis to research the pricing relationship between Chinese and international energy prices. We find that Chinese and international crude oil prices changed synchronously while Chinese refined oil prices follow the changes of international oil prices with the time difference being about 1 month to 2 months. Further, Australian coal prices Granger causes Chinese coal prices, and there is a high correlation between them. The U.S. electricity price is influenced by the WTI crude oil price, the U.S. gasoline price and the HenryHub gas price. Due to the unreasonable price-setting mechanism and regulation from the central government, China′s terminal market prices for both electricity and natural gas do not reflect the real supply–demand situation. This paper provides quantitative results on the correlation between Chinese and international energy prices to better predict the impact of international energy price fluctuations on China′s domestic energy supply and guide the design of more efficient energy pricing policies. Moreover, it provides references for developing countries to improve their energy market systems and trading, and to coordinate domestic and international energy markets. |
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| Keywords: | Energy prices HP filter Time difference analysis |
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