A wavelet analysis of the relationship between oil and natural gas prices

dc.contributor.authorTiwari, Aviral Kumar
dc.contributor.authorMukherjee, Zinnia
dc.contributor.authorGupta, Rangan
dc.contributor.authorBalcilar, Mehmet
dc.contributor.emailrangan. gupta@up.ac.zaen_ZA
dc.date.accessioned2019-01-17T05:29:39Z
dc.date.issued2019-03
dc.description.abstractIn 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.en_ZA
dc.description.departmentEconomicsen_ZA
dc.description.embargo2020-03-01
dc.description.librarianhj2019en_ZA
dc.description.urihttp://www.elsevier.com/locate/resourpolen_ZA
dc.identifier.citationTiwari, 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.en_ZA
dc.identifier.issn0301-4207 (print)
dc.identifier.issn1873-7641 (online)
dc.identifier.other10.1016/j.resourpol.2018.11.020
dc.identifier.urihttp://hdl.handle.net/2263/68169
dc.language.isoenen_ZA
dc.publisherElsevieren_ZA
dc.rights© 2018 Elsevier Ltd. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Resources Policy. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Resources Policy, vol. 60, pp. 118-124, 2019. doi : 10.1016/j.resourpol.2018.11.020.en_ZA
dc.subjectNatural gas pricesen_ZA
dc.subjectOilen_ZA
dc.subjectShale gas revolutionen_ZA
dc.subjectWavelet analysisen_ZA
dc.subjectCostsen_ZA
dc.subjectGasesen_ZA
dc.subjectNatural gas well productionen_ZA
dc.subjectCrude oil pricesen_ZA
dc.subjectPolicy effectsen_ZA
dc.subjectTime-periodsen_ZA
dc.subjectNatural gas conditioningen_ZA
dc.subjectEnergy marketen_ZA
dc.subjectEnergy policyen_ZA
dc.subjectPrice dynamicsen_ZA
dc.subjectUnited States (US)en_ZA
dc.titleA wavelet analysis of the relationship between oil and natural gas pricesen_ZA
dc.typePostprint Articleen_ZA

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