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Linkages among the US energy futures markets

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  • Kentaka Aruga
  • Shunsuke Managi

Abstract

This study investigates the price linkage among the US major energy sources, considering structural breaks in time series, to provide information for diversifying the US energy sources. We find that only a weak linkage sustains among crude oil, gasoline, heating oil, coal, natural gas, uranium and ethanol futures prices. This implies that the US major energy source markets are not integrated as one primary energy market. Our tests also reveal that uranium and ethanol futures prices have very weak linkages with other major energy source prices. This indicates that the US energy market is still at a stage where none of the probable alternative energy source markets are playing the role as substitute or complement markets for the fossil fuel energy markets.

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Bibliographic Info

Article provided by Inderscience Enterprises Ltd in its journal Int. J. of Global Energy Issues.

Volume (Year): 36 (2013)
Issue (Month): 1 ()
Pages: 13-26

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Handle: RePEc:ids:ijgeni:v:36:y:2013:i:1:p:13-26

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Web page: http://www.inderscience.com/browse/index.php?journalID==13

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Keywords: futures markets; cointegration test; structural break; price linkage; energy sources; energy futures; USA; United States; integration; crude oil; petrol; gasoline; heating oil; coal; natural gas; uranium; ethanol; futures prices; alternative energy; fossil fuels.;

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