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Price and Volatility Spillovers between Crude Oil and Natural Gas markets in Europe and Japan-Korea

Author

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  • Theodosios Perifanis

    (Energy and Environmental Policy Laboratory, University of Piraeus, 150 Androutsou str, PC 18532, Piraeus, Greece.)

  • Athanasios Dagoumas

    (Energy and Environmental Policy Laboratory, University of Piraeus, 150 Androutsou str, PC 18532, Piraeus, Greece.)

Abstract

The shale gas developments over the last two decades have challenged the gas price linkage with crude oil. The decoupling of the US wholesale gas from oil markets is mainly attributed to the rapid development of unconventional production, which formed a regional natural gas market based on regional market fundamentals. Moreover, investments in exporting facilities in the US made more quantities available to the rest of the world making global integration more plausible. This paper provides empirical evidence on the price and volatility transmission among the main European (NBP and TTF) and the Japan-Korean Marker (JKM) gas markets with that of Brent crude oil market, a crude oil benchmark used in Europe and Asia. The paper provides evidence that there are no price spillovers among oil and gas in European gas hubs. The European markets, contrary to the JKM market, seem to be mature enough as in the case of the US gas market. Finally, the paper provides policy recommendations on key elements for establishing functional gas hubs.

Suggested Citation

  • Theodosios Perifanis & Athanasios Dagoumas, 2020. "Price and Volatility Spillovers between Crude Oil and Natural Gas markets in Europe and Japan-Korea," International Journal of Energy Economics and Policy, Econjournals, vol. 10(5), pages 432-446.
    • Handle: RePEc:eco:journ2:2020-05-50
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    More about this item

    Keywords

    natural gas and oil markets; price and volatility spillovers; Europe; Japan;
    All these keywords.

    JEL classification:

    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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