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A Vector Autoregressive Model of Forecast Electricity Consumption in France

Author

Listed:
  • Stéphane AURAY

    (CREST-ENSAI and ULCO)

  • Vincent CAPONI

    (CREST-ENSAI and IZA)

Abstract

This provides a VARX approach for the estimation of electricity demand in metropolitan France. Our methodology takes into account the complex relation- ship between weather variables and electricity demand, especially in the short and medium run, and the correlation in the longer run, between electricity and macroeconomic variables. We are able to provide a reliable conditional forecasting that, within the VAR framework, takes into account the common dependency of electricity consumption and other variables. While the VAR approach is not novel within this literature, our main contributions lie on the use of exible functions that capture the role of weather to explain electricity consumption together with macroeconomic trend and cycle variables, and on the use of very detailed and comprehensive data on actual metered consumption of electricity in France. In- sample and out-sample forecasts provide evidence that our method is reliable for predicting future scenarios conditional on exogenous variables.

Suggested Citation

  • Stéphane AURAY & Vincent CAPONI, 2020. "A Vector Autoregressive Model of Forecast Electricity Consumption in France," Working Papers 2020-06, Center for Research in Economics and Statistics.
    • Handle: RePEc:crs:wpaper:2020-06
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    References listed on IDEAS

    as
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    5. Stéphane Auray & Vincenzo Caponi & Benoît Ravel, 2019. "Price Elasticity of Electricity Demand in France," Economie et Statistique / Economics and Statistics, Institut National de la Statistique et des Etudes Economiques (INSEE), issue 513, pages 91-103.
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    More about this item

    Keywords

    Electricity Forecast.;

    JEL classification:

    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

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