Crucial relationship among energy commodity prices
AbstractThis study investigates the short and long run relationship between crude oil, natural gas and electricity prices in US and in European commodity markets. The relationship between energy commodities may have several implications for the pricing of derivative products and for risk management purposes. Using daily price data over the period 2001-2009 we perform a correlation analysis to study the short run relationship, while the long run relationship is analyzed using a cointegration framework. The results show an erratic relationship in the short run while in the long run an equilibrium may be identi ed having di erent features for the European and the US markets.
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Bibliographic InfoPaper provided by Doctoral School of Economics, Sapienza University of Rome in its series Working Papers with number 5.
Length: 20 pages
Date of creation: 2010
Date of revision: 2010
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Web page: http://phdschool-economics.dse.uniroma1.it/website/
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Energy; commodities; prices.;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-02-05 (All new papers)
- NEP-BEC-2010-02-05 (Business Economics)
- NEP-ENE-2010-02-05 (Energy Economics)
- NEP-RMG-2010-02-05 (Risk Management)
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