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Bidirectional causality in oil and gas markets

  • Halova Wolfe, Marketa
  • Rosenman, Robert

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.

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Article provided by Elsevier in its journal Energy Economics.

Volume (Year): 42 (2014)
Issue (Month): C ()
Pages: 325-331

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Handle: RePEc:eee:eneeco:v:42:y:2014:i:c:p:325-331
Contact details of provider: Web page: http://www.elsevier.com/locate/eneco

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  1. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," Working Papers 02-16, Duke University, Department of Economics.
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  16. Philippe Gregoire & Mathieu Boucher, 2008. "Maturity effect and storage announcements: the case of natural gas," International Journal of Business Forecasting and Marketing Intelligence, Inderscience Enterprises Ltd, vol. 1(1), pages 21-29.
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