 Macroeconomic uncertainty and natural gas prices: Revisiting the Asian PremiumXunpeng Shi and Yifan Shen () Energy Economics, 2021, vol. 94, issue C Abstract: While macroeconomic uncertainty and its impact on commodity, mainly oil prices, have been frequently studied, there is no study investigating the role of macroeconomic uncertainty in natural gas pricing. To fill this gap, we construct homogeneous macroeconomic uncertainty measures for three major natural gas markets and investigate the dynamic causal effects of macroeconomic uncertainty shocks on the formation of natural gas prices. We show that macroeconomic uncertainty plays a vital role in determining natural gas price variations, in addition to driving business cycle fluctuations in these economies. Compared to oil price, the uncertainty impact on gas pricing is relatively moderate but significant. Market-specific supply and demand analysis shows the drivers of gas prices are substantially different in three different markets, which helps to understand the “Asian Premium” phenomenon in the natural gas trade. Keywords: Macroeconomic uncertainty; Drivers of commodity prices; Natural gas; Oil; Asian premium (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:94:y:2021:i:c:s0140988320304217 DOI: 10.1016/j.eneco.2020.105081 Access Statistics for this article Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant More articles in Energy Economics from Elsevier |
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