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The time-frequency impacts of natural gas prices on US economic activity

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  • Geng, Jiang-Bo
  • Xu, Xiao-Yue
  • Ji, Qiang

Abstract

In this study, we examine the return and volatility information spillover effects of the natural gas market on US sectoral stock markets. A time-frequency connectedness approach is applied to specifically capture the time-varying characteristics of the links between natural gas and stock markets in different frequency domains. We find that return and volatility information spillover between the natural gas market and all US sectoral stock markets is mainly generated in the short term and that the influence of the natural gas market on different sectoral stock markets has heterogeneous and time-varying characteristics. In the return system, the natural gas market is mainly a net information receiver at both short and long time scales. However, in the volatility system, the information spillover effect of the natural gas market on most other sectoral stock markets is significant at a short time scale. These new findings can offer decision support for natural gas policy makers and market participants.

Suggested Citation

  • Geng, Jiang-Bo & Xu, Xiao-Yue & Ji, Qiang, 2020. "The time-frequency impacts of natural gas prices on US economic activity," Energy, Elsevier, vol. 205(C).
    • Handle: RePEc:eee:energy:v:205:y:2020:i:c:s0360544220311129
    DOI: 10.1016/j.energy.2020.118005
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    7. Chao Liang & Feng Ma & Lu Wang & Qing Zeng, 2021. "The information content of uncertainty indices for natural gas futures volatility forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1310-1324, November.
    8. Pham, Son Duy & Nguyen, Thao Thac Thanh & Do, Hung Xuan, 2023. "Natural gas and the utility sector nexus in the U.S.: Quantile connectedness and portfolio implications," Energy Economics, Elsevier, vol. 120(C).
    9. Sun, Xiaotian & Fang, Wei & Gao, Xiangyun & An, Haizhong & Si, Jingjian & Wei, Hongyu, 2024. "Dynamic interactions among new energy metals and price adjustment strategies: A cross-industry chain perspective," Energy, Elsevier, vol. 303(C).
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