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http://dx.doi.org/10.5207/JIEIE.2014.28.7.097

An Analysis on the Causal Relation Among SMP, Base-Load Share, LNG Import Price, and Exchange Rate  

Park, Min Hyug (Dept. of Energy Policy, The Graduate School of Energy & Environment, Seoul National University of Science & Technology)
Moon, Yang Taik (Dept. of Energy Policy, The Graduate School of Energy & Environment, Seoul National University of Science & Technology)
Park, Jung Gu (Dept. of Energy Policy, The Graduate School of Energy & Environment, Seoul National University of Science & Technology)
Publication Information
Journal of the Korean Institute of Illuminating and Electrical Installation Engineers / v.28, no.7, 2014 , pp. 97-105 More about this Journal
Abstract
This article examines the causality relationship among SMP, base-load share, LNG import price, and exchange rate in Korean power market during 2002~2012, using unit root test, cointegration test, and vector error correction model(VECM). The cointegration test shows that 4 variables without unit root have been in the long-run causality. As the results of ECM, SMP is analyzed to have been unilaterally caused from LNG import price and base-load share in the shot-run, while it has been unilaterally caused from LNG import price and exchange rate in the long-run. This article has the following policy implications: the adjustment of exchange rate to reduce he risk of LNG import price and the proper securement of base-load share for the long-run stability of SMP.
Keywords
Causality; SMP; Base-load Share; LNG Import Price; Exchange Rate; VECM;
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