Bidirectional causality in oil and gas markets

Marketa Wolfe and Robert Rosenman

Energy Economics, 2014, vol. 42, issue C, 325-331

Abstract: Do events in the natural gas market cause repercussions in the crude oil market? This paper studies linkages between the two markets using high-frequency, intraday oil and gas futures prices. By analyzing the effect of weekly oil and gas inventory announcements on price volatility, we show a bidirectional causal relationship. Both inventory gluts and shortages have a cross-commodity effect on price volatility not only for the next-month nearby futures contract but also for the following six months' contracts.

Keywords: Crude oil; Natural gas; Commodity futures prices and volatility; Inventory; Energy (search for similar items in EconPapers)
JEL-codes: G13 Q41 Q43 Q47 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (26)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:42:y:2014:i:c:p:325-331

DOI: 10.1016/j.eneco.2013.12.010

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