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Bidirectional causality in oil and gas markets

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  • Halova Wolfe, Marketa
  • Rosenman, Robert

Abstract

Do events in the natural gas market cause repercussions in the crude oil market? This paper studies linkages between the two markets using high-frequency, intraday oil and gas futures prices. By analyzing the effect of weekly oil and gas inventory announcements on price volatility, we show a bidirectional causal relationship. Both inventory gluts and shortages have a cross-commodity effect on price volatility not only for the next-month nearby futures contract but also for the following six months' contracts.

Suggested Citation

  • Halova Wolfe, Marketa & Rosenman, Robert, 2014. "Bidirectional causality in oil and gas markets," Energy Economics, Elsevier, vol. 42(C), pages 325-331.
  • Handle: RePEc:eee:eneeco:v:42:y:2014:i:c:p:325-331 DOI: 10.1016/j.eneco.2013.12.010
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Biresselioglu, Mehmet Efe & Yelkenci, Tezer, 2016. "Scrutinizing the causality relationships between prices, production and consumption of fossil fuels: A panel data approach," Energy, Elsevier, vol. 102(C), pages 44-53.
    2. Caporin, Massimiliano & Fontini, Fulvio, 2017. "The long-run oil–natural gas price relationship and the shale gas revolution," Energy Economics, Elsevier, pages 511-519.
    3. Olivier Rousse & Benoît Sévi, 2016. "Informed Trading in Oil-Futures Market," Working Papers hal-01410093, HAL.
    4. repec:eee:eneeco:v:67:y:2017:i:c:p:98-110 is not listed on IDEAS
    5. Ye, Shiyu & Karali, Berna, 2016. "The informational content of inventory announcements: Intraday evidence from crude oil futures market," Energy Economics, Elsevier, pages 349-364.
    6. Andreasson, Pierre & Bekiros, Stelios & Nguyen, Duc Khuong & Uddin, Gazi Salah, 2016. "Impact of speculation and economic uncertainty on commodity markets," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 115-127.
    7. repec:eee:ecolet:v:156:y:2017:i:c:p:58-60 is not listed on IDEAS

    More about this item

    Keywords

    Crude oil; Natural gas; Commodity futures prices and volatility; Inventory; Energy;

    JEL classification:

    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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