英国天然气与电力价格联动关系研究

Research on the linkage relationship between British natural gas and electricity prices

运用2018年1月—2019年12月英国天然气和电力期货价格的周度数据,构建VAR模型实证分析英国天然气价格和电力期货价格的动态关系。结果表明:天然气价格与电价之间存在长期稳定的协整关系,且表现为正相关;短期内,天然气价格是电价的单向Granger原因,长期内二者存在双向的Granger因果关系;脉冲响应结果表明,天然气价格对电价有显著的正向冲击。因此,英国电价的市场化定价机制能够及时反映市场的供需状况、资源的稀缺程度。基于实证结果,对中国电力市场改革提出了相关对策建议。

Based on the weekly data of UK natural gas and electricity futures prices from January of 2018 to December of 2019,this paper constructs a VAR model to empirically analyze the dynamic relationship between natural gas prices and electricity futures prices in the UK.The results show that there is a long-term stable co-integration relationship between natural gas price and electricity price,and there is a positive correlation between them,that in the short term,natural gas price is the one-way Granger cause of electricity price,and in the long-term,there is a two-way Granger causality between the two and that the impulse response results show that natural gas price has a significant positive impact on electricity price.Therefore,the market-oriented pricing mechanism for electricity price in the UK can timely reflect the supply-and-demand situation of the market and the scarcity of resources.Based on the empirical results,this paper puts forward the relevant countermeasures and suggestions for China’s power market reform.