Crucial relationship among energy commodity prices

Cristina Bencivenga and Giulia Sargenti ()
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Giulia Sargenti: Department of Economic Theory and Quantitative Methods for Political Choices,Sapienza University of Rome,

No 5, Working Papers from Doctoral School of Economics, Sapienza University of Rome

Abstract: This study investigates the short and long run relationship between crude oil, natural gas and electricity prices in US and in European commodity markets. The relationship between energy commodities may have several implications for the pricing of derivative products and for risk management purposes. Using daily price data over the period 2001-2009 we perform a correlation analysis to study the short run relationship, while the long run relationship is analyzed using a cointegration framework. The results show an erratic relationship in the short run while in the long run an equilibrium may be identi ed having di erent features for the European and the US markets.

Keywords: Energy; commodities; prices. (search for similar items in EconPapers)
Pages: 20 pages
Date: 2010, Revised 2010
New Economics Papers: this item is included in nep-bec, nep-ene and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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