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Research on the Linkage Effect of Natural Gas Price

Jian Wang* and Guangshuai Zhou
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Jian Wang*: School of Mathematics and Statistics, Shandong University of Technology, Shandong Province, China
Guangshuai Zhou: School of Mathematics and Statistics, Shandong University of Technology, Shandong Province, China

Academic Journal of Applied Mathematical Sciences, 2018, vol. 4, issue 9, 90-94

Abstract: In this paper, we develop a vector error correction model for US natural gas market. It allows us to analyze the linkage effect of the natural gas price from 1998 to 2016. In particular, we prove the evidence that there is a long-term equilibrium relationship in US natural gas, coal and crude oil prices. Impulse response function and variance decomposition are used to examine the linkage effects that a shock in coal and crude oil price would have on natural gas price.

Keywords: Natural gas price; VEC model; Impulse response; Variance decomposition. (search for similar items in EconPapers)
Date: 2018
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