| Research Abstract |
Electric power markets have been operated in the world as the electric power industries are deregulated. We have studied the regression analysis which explanatory variables are such that 24 hours ago electric power price and power demand, and the chaotic analysis. Based on these studies, we have studied the decision factors of electric power prices and the difference between the markets in the world.
First, to make clear the effect on the price rising of crude oil, we compose the regression equation which explanatory variables are demand, the average electric power price the last day and WTI future price. From the results of the regression analysis, the crude oil price has large effect on the electric power price from November 2004 to the last half of 2005 when the WTI future price began to rise.
As power demand changes seasonally, the structural change points are made clear, composing the regression equations for each seasons. These equations corresponded to the 4 periods, that is, spri
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ng off-peak, summer peak, fall off-peak and winter peak periods, are investigated by Chow test. Especially in winter peak period in the eastern part of USA, the decision coefficient is improved adding a new explanatory variable concerning the temperature or temperature function.
Considering the serial correlation and non-homogeneous variance of error terms, we recalculate t-value by Cochran-Orcutt style method and Newey-West modified method. According to the results, we overestimated the significance of the explanatory variable when the serial correlation and non-homogeneous variance of error terms is not considered. However, we confirm that the significance itself is enough.
Finally, we investigate the chaotic analysis, which is one of the non-linear analyses, for the JEPX system price. We calculate the embedding dimension, fractal dimension and Lyapunov index, and so on. As the results, though we cannot show the clear evidence of existence, we can show the existence possibility of the chaotic characteristics in JEPX system prices. Less
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