The Nexus between Natural Gas Spot and Futures Prices at NYMEX: Do Weather Shocks and Non-Linear Causality in Low Frequencies Matter?

Theologos Dergiades, Reinhard Madlener and Georgia Christofidou ()
Additional contact information
Georgia Christofidou: International Hellenic University (IHU), Postal: 14th km Thessaloniki-N.Moudania, 57001 Thermi, Greece

No 17/2012, FCN Working Papers from E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN)

Abstract: The existence of non-linear dynamics in the prices of financial commodities is an endemic feature and one of the most fundamental stylized facts in the literature. This study, conditioning on weather shocks, investigates the nature of the existing predictive power between natural gas spot and futures prices with one-month maturity at the NYMEX market. By implementing successively, before and after a first-moment filtering, a frequency domain causality test [Breitung J., Candelon B., 2006. Testing for short- and long-run causality: a frequency domain approach. Journal of Econometrics 132, 363-378], we corroborated a unidirectional non-linear forecasting ability in low frequencies that runs from the short maturity futures market towards the spot market.

Keywords: Natural gas; Spot and futures markets; Frequency domain causality (search for similar items in EconPapers)
JEL-codes: C14 C58 G14 G15 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2012-12, Revised 2013-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.fcn.eonerc.rwth-aachen.de/global/show_document.asp?id=aaaaaaaaaagvvxe Full text (application/pdf)

Related works:
Journal Article: The nexus between natural gas spot and futures prices at NYMEX: Do weather shocks and non-linear causality in low frequencies matter? (2018)
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:ris:fcnwpa:2012_017

Access Statistics for this paper

More papers in FCN Working Papers from E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN) Contact information at EDIRC.
Bibliographic data for series maintained by Hendrik Schmitz ().