An Analysis of Dynamic Correlations among Oil, Natural Gas and Ethanol Markets: New Evidence from the Pre- and Post-COVID-19 Crisis

Derick Quintino, Cristiane Ogino, Inzamam Ul Haq, Paulo Ferreira and Márcia Oliveira
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Cristiane Ogino: Center for Advanced Studies on Applied Economics, “Luiz de Queiroz” College of Agriculture, University of São Paulo (CEPEA\ESALQ\USP), Piracicaba 13400-970, São Paulo, Brazil
Inzamam Ul Haq: Business School, Liaoning University, Shenyang 110036, China
Márcia Oliveira: Department of Economic Sciences and Organizations, Polytechnic Institute of Portalegre, 7300-555 Portalegre, Portugal

Energies, 2023, vol. 16, issue 5, 1-14

Abstract: After the economic shock caused by COVID-19, with relevant effects on both the supply and demand for energy assets, there was greater interest in understanding the relationships between key energy prices. In order to contribute to a deeper understanding of energy price relationships, this paper analyzes the dynamics between the weekly spot prices of oil, natural gas and benchmark ethanol in the US markets. The analysis period started on 23 June 2006 and ended on 10 June 2022. This study used the DMCA cross-correlation coefficient in a dynamic way, using sliding windows. Among the main results, it was found that: (i) in the post-pandemic period, oil and natural gas were not correlated, in both short- and long-term timescales; and (ii) ethanol was negatively associated with natural gas in the most recent post-pandemic period, especially in short-term scales. The results of the present study are potentially relevant for both market and public agents regarding investment diversification strategies and can aid public policies due to the understanding of the interrelationship between energy prices.

Keywords: WTI prices; Henry Hub prices; US ethanol prices; detrending moving average; cross-correlation; sliding windows (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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