The asymmetric causal relationship research of electricity price, exchange rate and oil price-takes Taiwan area as an example

Abstract

This study was to investigate the asymme triccausal relationship among electricity price, exchange rate and oil price. In this paper, we will distinct electricity price, oil price, and exchange rate according to its rise or fall rates. This paper analyzes the frequency of monthly data for taking ADF unit root test, cointegration test, asymmetry measurement methods such as Granger causality test to explore the purpose of this study. The empirical results show that: in the short term, exchange rate exists asymmetric causal relationship only on oil price, and the exchange rate on oil price is positive causal, namely the rise of the exchange rate will affect oil price, the fall of the exchange rate will not affect the oil price. The rise in oil price will affect the electricity price for the positive effect, and a drop in oil price will affect the exchange rate is negative effect. Electricity price exists asymmetric causal relationship only on forexchange rate. The conclusion above, confirmed that there is asymmetric causal relationship among electricity price, exchange rate and oil price.