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The role of underground storage in the dynamics of the US natural gas market: A threshold model analysis

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  • Rubaszek, Michał
  • Uddin, Gazi Salah

Abstract

Natural gas is an important source of energy in the global economy, hence understanding the drivers of its prices is of significant interest for the many economic agents. This paper investigates the role of inventories for the dynamics of the U.S. natural gas market. Our contribution is twofold. First, within the threshold structural VAR framework we demonstrate that in a low inventory regime spot prices are more responsive to economic fundamentals in comparison to situation in which the inventories are high. Second, we present evidence that the level of natural gas inventories have a significant effect on the relationship between spot and futures prices.

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  • Rubaszek, Michał & Uddin, Gazi Salah, 2020. "The role of underground storage in the dynamics of the US natural gas market: A threshold model analysis," Energy Economics, Elsevier, vol. 87(C).
  • Handle: RePEc:eee:eneeco:v:87:y:2020:i:c:s0140988320300529
    DOI: 10.1016/j.eneco.2020.104713
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    Cited by:

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    2. Christos Floros & Georgios Galyfianakis, 2020. "Bubbles in Crude Oil and Commodity Energy Index: New Evidence," Energies, MDPI, Open Access Journal, vol. 13(24), pages 1-11, December.

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    More about this item

    Keywords

    Natural gas market; Structural VAR; Threshold models; Futures market;
    All these keywords.

    JEL classification:

    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • Q31 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Demand and Supply; Prices

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