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摘要翻译：
动态价格信息如何在北欧电力现货价格和主要发电燃料来源价格之间流动？我们使用时间序列模型结合因果推理的新进展来回答这些问题。将我们的方法应用于北欧和德国的每周电价、石油、天然气和煤炭价格，以德国的风力发电和北欧的水库水位为外生变量，我们估计了价格动态的因果模型，包括同期和滞后关系。在同一时期，北欧和德国的电价通过天然气价格相通。从长期来看，电力价格和英国天然气价格会自行调整，以建立均衡价格水平，因为石油、煤炭、大陆天然气和欧元/美元被发现是弱外生的。
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英文标题：
《Causal modeling and inference for electricity markets》
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作者：
Egil Ferkingstad, Anders L{\o}land, Mathilde Wilhelmsen
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最新提交年份：
2011
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分类信息：
一级分类：Statistics 统计学
二级分类：Applications 应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Statistics 统计学
二级分类：Methodology 方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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英文摘要：
How does dynamic price information flow among Northern European electricity spot prices and prices of major electricity generation fuel sources? We use time series models combined with new advances in causal inference to answer these questions. Applying our methods to weekly Nordic and German electricity prices, and oil, gas and coal prices, with German wind power and Nordic water reservoir levels as exogenous variables, we estimate a causal model for the price dynamics, both for contemporaneous and lagged relationships. In contemporaneous time, Nordic and German electricity prices are interlinked through gas prices. In the long run, electricity prices and British gas prices adjust themselves to establish the equlibrium price level, since oil, coal, continental gas and EUR/USD are found to be weakly exogenous.
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PDF链接：
https://arxiv.org/pdf/1110.5429
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