Linkage among the U.S. Energy Futures Markets

Kentaka Aruga and Shunsuke Managi

MPRA Paper from University Library of Munich, Germany

Abstract: This study tests the price linkage among the U.S. major energy sources, considering structural breaks in time series. We use the Johansen cointegration method and find that only weak linkage sustains among the NYMEX WTI crude oil, Brent crude oil, gasoline, heating oil, coal, natural gas, uranium, and ethanol futures prices. Our tests reveal that the uranium and ethanol futures prices have very weak linkage with other U.S. major energy source prices. This indicates that the U.S. energy market is still at a stage where none of the probable alternative energy source markets are playing the role as a substitute or a complement market for the fossil fuel energy markets and that the U.S. major energy source markets are not integrated as one primary energy market.

Keywords: futures market; structural breaks; Johansen cointegration method (search for similar items in EconPapers)
JEL-codes: C32 G14 Q42 (search for similar items in EconPapers)
Date: 2011-10-31
New Economics Papers: this item is included in nep-ene and nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Journal Article: Linkages among the US energy futures markets (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:36086

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