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Can the electricity market be characterised by asymmetric behaviour?

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  • Narayan, Paresh Kumar
  • Popp, Stephan

Abstract

In this paper, we test for asymmetric behaviour of industrial and residential electricity demand for the G7 countries, using the entropy-based test for symmetry suggested by [Racine, J., and Maasoumi, E., 2007. A versatile and robust metric entropy test of time-reversibility, and other hypotheses. Journal of Econometrics 138(2), 547-567; Racine, J., and Maasoumi, E., 2008. A robust entropy-based test of asymmetry for discrete and continuous processes. Econometric Reviews 28, 246-261], the Triples test of [Randles, R., Flinger, M., Policello, G., and Wolfe, D., 1980. An asymptotically distribution-free test for symmetry versus asymmetry. Journal of the American Statistical Association 75, 168-172] and the [Bai, J., and Ng, S., 2001. A consistent test for conditional symmetry in time series models. Journal of Econometrics 103, 225-258] test for conditional symmetry. Using data that spans over three decades, we find overwhelming evidence of conditional symmetry of residential and industrial electricity consumption. This finding implies that the use of econometric tests based on linear data generating processes is credible.

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  • Narayan, Paresh Kumar & Popp, Stephan, 2009. "Can the electricity market be characterised by asymmetric behaviour?," Energy Policy, Elsevier, vol. 37(11), pages 4364-4372, November.
    • Handle: RePEc:eee:enepol:v:37:y:2009:i:11:p:4364-4372
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    Cited by:

    1. Narayan, Paresh Kumar & Narayan, Seema & Zheng, Xinwei, 2010. "Gold and oil futures markets: Are markets efficient?," Applied Energy, Elsevier, vol. 87(10), pages 3299-3303, October.
    2. Lee, Chien-Chiang & Chiu, Yi-Bin, 2011. "Oil prices, nuclear energy consumption, and economic growth: New evidence using a heterogeneous panel analysis," Energy Policy, Elsevier, vol. 39(4), pages 2111-2120, April.
    3. Veli Yilanci, 2012. "Investigating Asymmetries in Macroeconomic Aggregates of Central and Eastern European Economies," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 14(31), pages 223-229, February.
    4. Sharma, Susan Sunila, 2011. "Determinants of carbon dioxide emissions: Empirical evidence from 69 countries," Applied Energy, Elsevier, vol. 88(1), pages 376-382, January.
    5. Altinay, Galip & Karagol, Erdal, 2004. "Structural break, unit root, and the causality between energy consumption and GDP in Turkey," Energy Economics, Elsevier, vol. 26(6), pages 985-994, November.
    6. Sharma, Susan Sunila, 2010. "The relationship between energy and economic growth: Empirical evidence from 66 countries," Applied Energy, Elsevier, vol. 87(11), pages 3565-3574, November.
    7. Christophe Andre & Rangan Gupta & John W. Muteba Mwamba, 2016. "Are Housing Price Cycles Asymmetric? Evidence from the US States and Metropolitan Areas," Working Papers 201635, University of Pretoria, Department of Economics.
    8. Smyth, Russell, 2013. "Are fluctuations in energy variables permanent or transitory? A survey of the literature on the integration properties of energy consumption and production," Applied Energy, Elsevier, vol. 104(C), pages 371-378.

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    Asymmetry Electricity demand G7 countries;

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