The Relevance of Crude Oil Prices on Natural Gas Pricing Expectations: A Dynamic Model Based Empirical Study

Andre Salles and Ana Beatriz Mendes Campanati
Additional contact information
Ana Beatriz Mendes Campanati: Department of Industrial Engineering, Federal University of Rio de Janeiro, Brazil.

International Journal of Energy Economics and Policy, 2019, vol. 9, issue 5, 322-330

Abstract: The natural gas price is an important and often decisive variable for economic policy makers. Many studies have been developed in order to establish a stochastic process that can represent the movements or the returns of natural gas prices or variations of such prices time series to forecast price expectations. This work aims to study the relationship between natural gas and crude oil prices in the international market, proposing to investigate its nature and long term equilibrium, through the development of adequate econometric models for determining future expectations of major natural gas price benchmarks, or of their returns. In order to accomplish this, time series for both benchmark crude oil and natural gas prices are subjected to statistical tests with the purpose of verifying the underlying hypotheses behind the appropriate autoregressive dynamic models. The conditional heteroskedasticity and non-normality of the return series, which are prevalent characteristics in energy markets, are considered when elaborating these models. To reach the purpose of this work weekly natural gas and crude oil prices benchmarks traded in the international market were collected.

Keywords: Natural Gas Prices; Crude Oil Prices; Cointegration; Causality; ARDL Model. (search for similar items in EconPapers)
JEL-codes: C22 C51 G15 Q40 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econjournals.com/index.php/ijeep/article/download/7755/4525 (application/pdf)
https://www.econjournals.com/index.php/ijeep/article/view/7755/4525 (text/html)

Related works:
Working Paper: The Relevance of Crude Oil Prices on Natural Gas Pricing Expectations: A Dynamic Model Based Empirical Study (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eco:journ2:2019-05-35

Access Statistics for this article

International Journal of Energy Economics and Policy is currently edited by Ilhan Ozturk

More articles in International Journal of Energy Economics and Policy from Econjournals
Bibliographic data for series maintained by Ilhan Ozturk ().