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Correlation between Chinese and international energy prices based on a HP filter and time difference analysis

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  • He, Yongxiu
  • Wang, Bing
  • Wang, Jianhui
  • Xiong, Wei
  • Xia, Tian

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.

Suggested Citation

  • He, Yongxiu & Wang, Bing & Wang, Jianhui & Xiong, Wei & Xia, Tian, 2013. "Correlation between Chinese and international energy prices based on a HP filter and time difference analysis," Energy Policy, Elsevier, vol. 62(C), pages 898-909.
  • Handle: RePEc:eee:enepol:v:62:y:2013:i:c:p:898-909
    DOI: 10.1016/j.enpol.2013.07.136
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    References listed on IDEAS

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    Cited by:

    1. Jian Zhang & Zhaoguang Hu & Yanan Zheng & Yuhui Zhou & Ziwei Wan, 2017. "Sectoral Electricity Consumption and Economic Growth: The Time Difference Case of China, 2006–2015," Energies, MDPI, Open Access Journal, vol. 10(2), pages 1-14, February.
    2. repec:eee:energy:v:149:y:2018:i:c:p:190-203 is not listed on IDEAS
    3. Zhihua Ding & Caicai Feng & Zhenhua Liu & Guangqiang Wang & Lingyun He & Manzhi Liu, 2017. "Coal price fluctuation mechanism in China based on system dynamics model," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 85(2), pages 1151-1167, January.

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