Shocks affecting electricity prices in Kenya, a fractional integration study

dc.contributor.author	Luis, A. Gil-Alana
dc.contributor.author	Mudida, Robert
dc.contributor.author	Carcel, Hector
dc.date.accessioned	2017-10-13T06:59:03Z
dc.date.available	2017-10-13T06:59:03Z
dc.date.issued	2017-02
dc.description.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.	en_US
dc.identifier.uri	http://hdl.handle.net/11071/5479
dc.language.iso	en	en_US
dc.publisher	ScienceDirect	en_US
dc.subject	Electricity prices	en_US
dc.subject	Kenya	en_US
dc.subject	Fractional integration	en_US
dc.subject	Cointegration	en_US
dc.title	Shocks affecting electricity prices in Kenya, a fractional integration study	en_US
dc.type	Article	en_US

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