The impact of the shale gas revolution on the U.S. and Japanese natural gas markets
We investigated whether the increase in the US shale gas production changed the structures of the US and Japanese natural gas markets using market data for the period 2002:5–2012:5. Our analysis consists of a structural break test and market integration analysis. The Bai and Perron structural break test detected a break point of natural gas prices and consumption in 2005 as well as other external shocks – Hurricane Katrina and the Lehman Shock – that are irrelevant to shale gas development. We eliminated the impact of these shocks by separating the data set using the breaks identified in our analysis. We found the breaks skewed the estimation; a market linkage existed between the US and Japanese markets in the original data set, while it did not in the separated data. The vector autoregressive (VAR) model also indicated a significant change before and after the break point; the US market had a one-side influence on the Japanese market before 2005, but the influence disappeared after 2005. Our results implied that the shale gas revolution, triggered by the increase in shale gas production in 2005, caused the change in the relationship between the US and Japanese natural gas markets.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ben Sita, Bernard & Marrouch, Walid & Abosedra, Salah, 2012. "Short-run price and income elasticity of gasoline demand: Evidence from Lebanon," Energy Policy, Elsevier, vol. 46(C), pages 109-115.
- Zeileis, Achim & Kleiber, Christian & Kramer, Walter & Hornik, Kurt, 2003.
"Testing and dating of structural changes in practice,"
Computational Statistics & Data Analysis,
Elsevier, vol. 44(1-2), pages 109-123, October.
- Zeileis, Achim & Kleiber, Christian & Krämer, Walter & Hornik, Kurt, 2002. "Testing and dating of structural changes in practice," Technical Reports 2002,39, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Perron, P. & Bai, J., 1995.
"Estimating and Testing Linear Models with Multiple Structural Changes,"
Cahiers de recherche
9552, Universite de Montreal, Departement de sciences economiques.
- Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
- Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Asche, Frank & Oglend, Atle & Osmundsen, Petter, 2012.
"Gas versus oil prices the impact of shale gas,"
Elsevier, vol. 47(C), pages 117-124.
- Frank Asche & Odd Bjarte Nilsen & Ragnar Tveteras, 2008. "Natural Gas Demand in the European Household Sector," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 27-46.
- Erdogdu, Erkan, 2009.
"Natural gas demand in Turkey,"
19091, University Library of Munich, Germany.
- Krichene, Noureddine, 2002. "World crude oil and natural gas: a demand and supply model," Energy Economics, Elsevier, vol. 24(6), pages 557-576, November.
- BAI, Jushan & PERRON, Pierre, 1998.
"Computation and Analysis of Multiple Structural-Change Models,"
Cahiers de recherche
9807, Universite de Montreal, Departement de sciences economiques.
- Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
- Johansen, Soren, 1992. "Cointegration in partial systems and the efficiency of single-equation analysis," Journal of Econometrics, Elsevier, vol. 52(3), pages 389-402, June.
- Maruyama, Shigenao & Deguchi, Koji & Chisaki, Masazumi & Okajima, Junnosuke & Komiya, Atsuki & Shirakashi, Ryo, 2012. "Proposal for a low CO2 emission power generation system utilizing oceanic methane hydrate," Energy, Elsevier, vol. 47(1), pages 340-347.
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
When requesting a correction, please mention this item's handle: RePEc:eee:enepol:v:62:y:2013:i:c:p:1002-1009. See general information about how to correct material in RePEc.
If references are entirely missing, you can add them using this form.