• Login
    View Item 
    •   SU+ Home
    • Research and Publications
    • Strathmore Business School (SBS)
    • SBS Scholarly Articles
    • View Item
    •   SU+ Home
    • Research and Publications
    • Strathmore Business School (SBS)
    • SBS Scholarly Articles
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Shocks affecting electricity prices in Kenya, a fractional integration study

    Thumbnail
    View/Open
    Fulltext Article (681.7Kb)
    Date
    2017-02
    Author
    Luis, A. Gil-Alana
    Mudida, Robert
    Carcel, Hector
    Metadata
    Show full item record
    Abstract
    We conduct a fractional integration and cointegration study of several Kenyan electricity price series in order to determine whether signs of persistence or mean reversion can eventually be discovered. Such features can be considered as relevant when considering the possibilities of shocks affecting the energy market of Kenya, which has recently been subjected to major debate. We conclude that electricity prices in Kenya contain unit roots, implying permanent shocks lasting forever. Among the factors affecting electricity prices, we find oil prices and interest rates have significant positive effects on electricity, and based on the fact that all the series are I(1), long run relationships are examined by means of fractional cointegration. The recently introduced FCVAR model is implemented, with results showing that the series under study are fractionally cointegrated, with oil price shocks affecting electricity prices.
    URI
    http://hdl.handle.net/11071/5479
    Collections
    • SBS Scholarly Articles [54]

    DSpace software copyright © 2002-2016  DuraSpace
    Contact Us | Send Feedback
    Theme by 
    Atmire NV
     

     

    Browse

    All of SU+Communities & CollectionsBy Issue DateAuthorsTitlesSubjectsThis CollectionBy Issue DateAuthorsTitlesSubjects

    My Account

    Login

    DSpace software copyright © 2002-2016  DuraSpace
    Contact Us | Send Feedback
    Theme by 
    Atmire NV