Linkage among the U.S. Energy Futures Markets
AbstractThis study tests the price linkage among the U.S. major energy sources, considering structural breaks in time series. We use the Johansen cointegration method and find that only weak linkage sustains among the NYMEX WTI crude oil, Brent crude oil, gasoline, heating oil, coal, natural gas, uranium, and ethanol futures prices. Our tests reveal that the uranium and ethanol futures prices have very weak linkage with other U.S. major energy source prices. This indicates that the U.S. energy market is still at a stage where none of the probable alternative energy source markets are playing the role as a substitute or a complement market for the fossil fuel energy markets and that the U.S. major energy source markets are not integrated as one primary energy market.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 36086.
Date of creation: 31 Oct 2011
Date of revision:
futures market; structural breaks; Johansen cointegration method;
Other versions of this item:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- Q42 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Alternative Energy Sources
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-01 (All new papers)
- NEP-ENE-2012-02-01 (Energy Economics)
- NEP-FMK-2012-02-01 (Financial Markets)
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