The role of underground storage in the dynamics of the US natural gas market: A threshold model analysis

Michał Rubaszek and Gazi Uddin

Energy Economics, 2020, vol. 87, issue C

Abstract: Natural gas is an important source of energy in the global economy, hence understanding the drivers of its prices is of significant interest for the many economic agents. This paper investigates the role of inventories for the dynamics of the U.S. natural gas market. Our contribution is twofold. First, within the threshold structural VAR framework we demonstrate that in a low inventory regime spot prices are more responsive to economic fundamentals in comparison to situation in which the inventories are high. Second, we present evidence that the level of natural gas inventories have a significant effect on the relationship between spot and futures prices.

Keywords: Natural gas market; Structural VAR; Threshold models; Futures market (search for similar items in EconPapers)
JEL-codes: C24 C32 Q31 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:87:y:2020:i:c:s0140988320300529

DOI: 10.1016/j.eneco.2020.104713

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