A wavelet analysis of the relationship between oil and natural gas prices
Loading...
Date
Authors
Tiwari, Aviral Kumar
Mukherjee, Zinnia
Gupta, Rangan
Balcilar, Mehmet
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
Abstract
In this paper, we aim to explore the relationship between natural gas and crude oil prices for the U.S. economy over the time period 1997 and 2017 in both the unconditional and conditional framework by conditioning the relationship on natural gas production. The time period covers the recent shale gas supply boom. Our results indicate that during the shale gas revolution period of 2007–2013, oil and natural gas prices were procyclical and oil prices were leading natural gas prices. Once we control for the natural gas production we find that significant or high wavelet coherency is observed during 2000–2015 for 3–4 years scale. These results have implications for cross-market policy effects.
Description
Keywords
Natural gas prices, Oil, Shale gas revolution, Wavelet analysis, Costs, Gases, Natural gas well production, Crude oil prices, Policy effects, Time-periods, Natural gas conditioning, Energy market, Energy policy, Price dynamics, United States (US)
Sustainable Development Goals
Citation
Tiwari, A.K., Mukherjee, Z., Gupta, R. et al. 2019, 'A wavelet analysis of the relationship between oil and natural gas prices', Resources Policy, vol. 60, pp. 118-124.