An Empirical Research of American Electricity Futures Market Model Based on Cointegration

Based on the VAR co-integration theory,this article has an empirical study on the America PJM electricity futures market.Cause-and-effect test shows there is single direction Granger cause-and-effect relationship between the next month contract price and the spot price.The cointegration test shows the electricity futures price and spot price has long-run equilibrium relation,and the futures market has price discovery function,furthermore,the price discovery function of spot market is weaker.The variance decomposition result shows futures prices are more affected by the futures price themselves,and the impact of the spot prices are very small and almost can be missed.The spot price is more affected by the spot prices themselves in the short-run.With the lag period increase,the impact of spot prices themselves get weak gradually,and the impact of the futures markets get larger gradually,finally,the futures market has primary function in the price decision.The impulse-reaction function also shows the impact of the spot market on the futures market is smaller,and the impact of futures market on the spot market is larger.