The time-frequency impacts of natural gas prices on US economic activity

Jiang-Bo Geng, Xiao-Yue Xu and Qiang Ji

Energy, 2020, vol. 205, issue C

Abstract: In this study, we examine the return and volatility information spillover effects of the natural gas market on US sectoral stock markets. A time-frequency connectedness approach is applied to specifically capture the time-varying characteristics of the links between natural gas and stock markets in different frequency domains. We find that return and volatility information spillover between the natural gas market and all US sectoral stock markets is mainly generated in the short term and that the influence of the natural gas market on different sectoral stock markets has heterogeneous and time-varying characteristics. In the return system, the natural gas market is mainly a net information receiver at both short and long time scales. However, in the volatility system, the information spillover effect of the natural gas market on most other sectoral stock markets is significant at a short time scale. These new findings can offer decision support for natural gas policy makers and market participants.

Keywords: Natural gas market; Economic activity; Sectoral stock indices; Connectedness network; Time-frequency (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0360544220311129
Full text for ScienceDirect subscribers only

Related works:
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:eee:energy:v:205:y:2020:i:c:s0360544220311129

DOI: 10.1016/j.energy.2020.118005

Access Statistics for this article

Energy is currently edited by Henrik Lund and Mark J. Kaiser

More articles in Energy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().