علیت در میانگین و علیت در واریانس در قیمت برق، قیمت نفت خام و نرخ برابری ین و دلار در ژاپن

In this study, we test the Granger-causality-in-mean and Granger-causality-in-variance among electricity prices, crude oil prices, and yen-to-US-dollar exchange rates in Japan using a cross-correlation function approach. We find Granger-causality-in-mean from neither the exchange market nor the oil market to the power market; the same was true of Granger-causality-in-variance, although both the exchange rates and oil prices greatly influence power generation costs in Japan. We suspect the efficiency of this market is at play.

Since the end of the twentieth century, the electric-power industry in Japan—like its counterparts in the United States and the industrialized nations of Europe—has undergone deregulation. However, until recently, the regional monopoly over power generation, transmission, and supply, which was under the control of 10 regional power utility companies, had been legally permitted for a number of years. With the amendment of the Electricity Utilities Industry Law in 1995, new entrants were permitted to conduct electric power generation activities in Japan, and businesses began supplying electric power to power utility companies as wholesale traders. In 1999, the Electricity Utilities Industry Law was revised once again to permit the partial liberalization of the power retail supply for extra-high voltage users of 20,000 V or more and a usage scale of 2000 kW or more. The Law was repeatedly reformed in 2003, and the scope of liberalization was expanded twice by enforcing the Law once in 2004 and subsequently in 2005 through a usage scale of 500 kW or more and 50 kW or more, respectively. As liberalization policies evolved, the JEPE, 2011a, JEPE, 2011b, JEPE, 2011c, JEPE, 2011d, JEPE, 2011e, JEPE, 2011f and JEPE, 2011g was established, and trading in wholesale electric power was initiated in April 2005. The purpose of this endeavor was to ensure fair competition and invigorate the business of transmitting and distributing electric power on a nationwide basis. As shown in Fig. 1, trading activity has gradually increased, with the total contract volume (5501 GWh) in fiscal year 2010 (April 2010 to March 2011) exceeding that (938 GWh) in fiscal year 2005 (April 2005 to March 2006) by 5.9 times. Spot and forward markets have been established at this exchange.2

Over the past 20 years, countries across the world—and, in particular, leading industrialized nations—have been deregulating the electric power business. This has led to the development of wholesale electricity markets and the active trading of electricity. Electricity trading has attracted significant attention as a new commodity market and has thus become the subject of various empirical studies. However, very few studies have explored Japan's wholesale electricity market, which was deregulated in 2005. Therefore, the current study involves empirical analyses, in order to test for Granger-causality-in-variance and Granger-causality-in-mean among the price of electricity (a secondary energy source), the price of crude oil (a primary energy source), and exchange rates, all within the context of Japan, a country that relies almost entirely on imports for its primary energy sources. To ensure steady economic supplies of nuclear fuel, liquefied natural gas, coal, heavy oil, and other fuels that are used to generate electricity, electricity utility companies import required fuels primarily through the execution of US dollar-denominated long-term contracts. Since electric utility companies sometimes purchase fuel oil to cover unanticipated increases in demand and the unscheduled shutdown of nonoil fuel power plants, the spot prices of crude oil may influence fuel costs. Further, there will be changes in yen-denominated costs—owing largely to exchange-rate fluctuations—even if US dollar-denominated fuel costs remain constant. Changes in yen-denominated fuel costs are the primary driver of short-term changes in yen-denominated costs of generating electricity. Therefore, we formulate the hypothesis that decreases (increases) in the value of the yen and increases (decreases) in crude oil prices may lead to an increase (decrease) in electricity prices. However, this hypothesis is rejected by the current study's finding of Granger-causality-in-mean from crude oil prices and exchange rates to electricity prices. Moreover, the current study's finding of a lack of Granger-causality-in-variance indicates that the risks inherent in crude oil prices and exchange rates are not transmitted to electricity price risk. In Japan, oil-fired plants are used to handle adjustments to hourly changes in demand, and natural-gas-fired plants are the principal tools for adjusting outputs in response to daily demand changes. Japan links the prices of natural gas to a crude oil benchmark. In other words, Japan's marginal fuel prices are affected only by a crude oil benchmark. Emery and Liu (2002) indicate that marginal fuel prices influence wholesale electricity prices; however, that is not the finding of this current study. These analyses show that Japan's wholesale power market does not reflect information from the oil market and exchange market. We can say that electric power producers absorb all of the risks and changes relating to yen-denominated generation cost. At the same time, we can conclude that they can consistently achieve profits in excess of average profits. Of course, it is theoretically possible for power retailers and/or consumers to increase the average volume of excess utility. However, power producers should not be allowed to continue to operate in this way over a protracted period, and they must not be allowed to trade in the exchange until they have ceased to do so. The inefficient price formation in this market implies a low level of liquidity. In fact, we cannot say that the amount of agreements has been in very high levels, or that there have been many market participants. The trading volume represented 0.4% of the total system demand in the 2010 fiscal year, and there were 45 companies participating in the Japanese market at the start of the 2010 fiscal year. Low liquidity causes low efficiency, and conversely, low efficiency brings about low liquidity. In other words, because low liquidity causes insufficient arbitrage, prices are not being efficiently formed, and inefficient price formation lowers the motivation to trade through the exchange. Moreover, the number of derivative choices made available is not enriched, and liquidity is further reduced, because the prices cannot become benchmarks. We suspect that the JEPE, 2011a, JEPE, 2011b, JEPE, 2011c, JEPE, 2011d, JEPE, 2011e, JEPE, 2011f and JEPE, 2011g has fallen precisely into such a “vicious cycle.” We assume the following three factors: • The participants in this exchange are limited to the farms that really do sell and/or buy electricity. Furthermore, they cannot trade electricity that exceeds their power-generation capacity and/or the demand. The information that is ultimately reflected in the market price tends to be that from the electric power companies. Therefore, it is difficult to arbitrage among the wholesale electricity market and the other markets. This has very much restricted market liquidity. The immediacy, which standard buy and sell orders are quickly able to be executable, and resilience, which temporary imbalance of orders is rapidly canceled and the market price converges on an appropriate level, cannot exist. • There are only the spot and the forward in this market; there are no derivatives such as the future, option, or spread. A limited choice of products is a major factor preventing growth among market participants. Moreover, inefficiently formed prices have disturbed the development of derivative product markets. • Traditional electric power companies have abundant production capacities and serve most consumers; therefore, they wield overwhelming market power. Even if that market power is not exercised, even their potential to do so can influence the expectations of other entities in the future. Other entities can anticipate the following: rich and diverse power plants could hold direct market power, and could expand their bargaining power into fuel procurement markets. Moreover, information vis-à-vis end-user consumers would not be gathered in the exchange and/or through numerous retailers; rather, it would be concentrated on traditional utilities because they are the largest-scale retailers. The results of our causality testing are direct results of the following two conditions: there is no arbitrage between this power market and others—as there are a limited number of participants—and there is a lack of spread between power prices and fuel prices. One would be hard-pressed to say that the economic contribution of the JEPE, 2011a, JEPE, 2011b, JEPE, 2011c, JEPE, 2011d, JEPE, 2011e, JEPE, 2011f and JEPE, 2011g is high, although its political significance is undeniable. Effective competition will never arrive in this market, if such circumstances persist. Further, because it is difficult to generate and supply power efficiently, precious energy resources are not being allocated efficiently. It is essential to undertake further research into whether the benefits, if any, of inefficient price formation in Japan's current regulatory scheme exceed its resulting costs.