为探索竞争性电力市场电价形成机制，本文以美国加利福尼亚州(以下简称加州)电力市场出清价格、电荷量为研究对象，利用格兰杰方法检测二者之间的因果关系。首先选取1999~2000年的实时电价与电荷量进行长程自相关性、互相关性检测。然后分别将1999年和2000年全年24个时段的电荷量及其对应电价的数据进行一阶差分，选用ADF检验法检测序列的平稳性，而后利用Granger检验法对一阶差分后的电荷量与电价序列进行因果关系检验。结果表明，电荷量与电价的具有显著的相关关系，且互为因果。最后为我国电力市场健康运行提供了建议。
In order to explore the formation
mechanism of electricity price in competitive electricity market, in this paper,
the clearing price and load of California electricity market are considered as
study object to detect the causal relationship between them by using Granger. Firstly,
the long-range auto-correlation of real-time electricity price and quantity of
the years of 1999 to 2000 as well as the cross-correlation between them are
tested. Then, the first-order difference of the charge quantity and its
corresponding price data for 24 periods in 1999 and 2000 is made respectively.
After that, we investigate the stability of the sequence by ADF test. And then
the causality test between the charge quantity and the price sequence after the
first-order difference is carried out by Granger test. The results show that there
is a significant correlation between the quantity and electricity price, which
is causal to each other. Finally, some suggestions are provided for the healthy
operation of electricity market of China.
References
[1]
Davison, M., Anderson, C.L. and Marcus, B. (2002) Development of a Hybrid Model for Electrical Power Spot Prices. IEEE Transactions on Power Systems, 17, 257-264 https://doi.org/10.1109/TPWRS.2002.1007890
