On dynamic linkages of the state natural gas markets in the USA: Evidence from an empirical spatio-temporal network quantile analysis
Yukun Shi and
Energy Economics, 2019, vol. 80, issue C, 234-252
We empirically investigate the dynamic linkages of the state-level natural gas markets in the USA. By introducing a novel spatio-temporal network quantile econometric model, we can estimate the dynamic cross-state dependency or market integration of the state-level natural gas markets and the dependence of the state natural gas markets on the national crude oil market at different quantile levels. We find that significant local dynamic neighbouring market integrations exist in the natural gas markets not only in the eastern and central states as evidenced in the literature but also in some western and southwest states. Our results also show that there are significant linkages of the state-level natural gas markets to the national crude oil market through the lagged price shocks and the long-run price equilibrium with the national gas markets under varying price shock propagations. The results can help local government and energy users to mitigate the negative impacts from the expected or unexpected fluctuations in the oil and the neighbouring natural gas markets, which will enact appropriate state-level price discovery and energy policy and investment decision makings.
Keywords: Spatio-temporal model; Natural gas markets; Quantile regression; Oil market; Cross-market integration (search for similar items in EconPapers)
JEL-codes: C31 C33 Q41 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:80:y:2019:i:c:p:234-252
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