This paper uses hourly electricity prices and MW hour demand for Alberta, Canada over the deregulated period after 1996 to test for randomly modulated periodicity. In doing so, we apply the signal coherence spectral analysis to the time series of hourly spot prices and megawatt-hours (MWh)...

In this paper we specify and estimate a multivariate GARCH-M model of natural gas and electricity price changes, and test for causal relationships between natural gas and electricity price changes and their volatilities, using data over the deregulated period from January 1, 1996 to November 9,...

Purpose – The purpose of this paper is to investigate productivity growth and technical progress bias in the USA. Design/methodology/approach – Following the work of Kohli in 1978 and Diewert and Wales in 1992, the paper estimates output supply and input demand functions in the context of a...

Purpose – To test the Feldstein‐Horioka hypothesis that the investment‐to‐output ratio moves one‐for‐one with the saving‐to‐output ratio, suggesting international capital mobility. Design/methodology/approach – The paper uses the econometric framework developed by Fisher and...

Purpose – This paper set out to use an autoregressive conditional heteroscedasticity (ARCH)‐type model to capture the time‐varying conditional variance of Alberta electricity prices. This is of major importance in forecasting, since ARCH‐type models allow the conditional variance to...

Purpose – The purpose of this paper is to examine the effects of inflation uncertainty on real economic activity using data from four industrialised countries. Design/methodology/approach – The paper uses the econometric framework developed by Elder in the context of a multivariate framework...

Purpose – The purpose of this paper is to revisit the evidence for purchasing power parity (PPP) using long, low‐frequency data (over 100 years) for 23 organization for economic co‐operation and development (OECD) countries against each of four different base currencies – the Deutsch...