How far is gas from becoming a global commodity?

Luís Aguiar-Conraria (lfaguiar@eeg.uminho.pt), Gilmar Conceição (daconceicaogil@gmail.com.) and Maria Joana Soares (jsoares@math.uminho.pt)
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Gilmar Conceição: Faculdade de Economia e Gestão da Universidade Licungo
Maria Joana Soares: NIPE and Department of Mathematics, University of Minho

No 06/2021, NIPE Working Papers from NIPE - Universidade do Minho

Abstract: While we can say that there is a global market for crude oil, we cannot say the same cannot for natural gas. There is a strand of literature that argues that, in the last decades, gas markets have become less regional and more global. We use wavelets to test this hypothesis and conclude otherwise: although the European and Japanese gas markets are signifcantly synchronized, they are much less than the oil markets, which we take as the benchmark. We also show that the North American gas market fluctuations are independent of the other gas markets. Finally, we show that the existing synchronization between gas markets almost vanishes once one filters out the effect of oil price variations, suggesting that it is the global oil market that connects the regional gas markets.

Keywords: Gas markets; Oil market; Wavelet Power Spectrum; Wavelet Coherency; Wavelet Phase-Difference (search for similar items in EconPapers)
Date: 2021
New Economics Papers: this item is included in nep-cwa, nep-ene and nep-reg
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