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A wavelet analysis of the relationship between oil and natural gas prices

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  • Tiwari, Aviral Kumar
  • Mukherjee, Zinnia
  • Gupta, Rangan
  • Balcilar, Mehmet

Abstract

In this paper, we aim to explore the relationship between natural gas and crude oil prices for the U.S. economy over the time period 1997 and 2017 in both the unconditional and conditional framework by conditioning the relationship on natural gas production. The time period covers the recent shale gas supply boom. Our results indicate that during the shale gas revolution period of 2007–2013, oil and natural gas prices were procyclical and oil prices were leading natural gas prices. Once we control for the natural gas production we find that significant or high wavelet coherency is observed during 2000–2015 for 3–4 years scale. These results have implications for cross-market policy effects.

Suggested Citation

  • Tiwari, Aviral Kumar & Mukherjee, Zinnia & Gupta, Rangan & Balcilar, Mehmet, 2019. "A wavelet analysis of the relationship between oil and natural gas prices," Resources Policy, Elsevier, vol. 60(C), pages 118-124.
  • Handle: RePEc:eee:jrpoli:v:60:y:2019:i:c:p:118-124
    DOI: 10.1016/j.resourpol.2018.11.020
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    Cited by:

    1. Mehmet Balcilar & Usman Ojonugwa, 2018. "Exchange rate and oil price pass-through to inflation in BRICS countries: Evidence from the spillover index and rolling-sample analysis," Working Papers 15-45, Eastern Mediterranean University, Department of Economics.

    More about this item

    Keywords

    C49; Q31; Oil; Natural gas prices; Shale gas revolution; Wavelet analysis;

    JEL classification:

    • C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
    • Q31 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Demand and Supply; Prices

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