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    Testing for Energy Market Integration in China

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    12611474_Oxley.pdf (227.4Kb)
    Author
    Ma, H.
    Oxley, L.
    Gibson, J.
    Date
    2008
    Permanent Link
    http://hdl.handle.net/10092/2068

    The paper investigates energy market integration in China by employing univariate, and panel-based unit root tests and Granger causality tests applied to a new, energy price data set. We identify price series that converge either to absolute or relative price parity. In addition we estimate the rates (speed) at which relative prices converge to their long-run values, and the direction of causality. The results show that gasoline and diesel markets are very well integrated as a whole; that once some geographically isolated regions are excluded, we can regard the coal market as integrated; however, the electricity markets is not well integrated. The estimated intercept terms are all very small and close to zero, such that most of the relative price series can be regarded as convergent to absolute price parity. The convergence rates vary little and are relatively short when compared internationally. A rich set of causal relationships are established many showing bi-directional causality between regional centres.

    Subjects
    China
     
    energy
     
    market integration
     
    price convergence
     
    times series tests
     
    Fields of Research::340000 Economics::340400 Econometrics::340403 Time-series analysis
     
    Fields of Research::340000 Economics::340200 Applied Economics::340202 Environment and resource economics
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    • Business and Law: Working Papers [181]
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