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Volatility in U.S. Natural Gas Prices: Exploring Market Dynamics and Economic Policy Uncertainties

Author

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  • Bahram Adrangi
  • Ales Kresta
  • Kambiz Raffiee
  • Tomas Tichy

Abstract

We investigate the association between the Henry Hub natural gas pricFe (HHNGP) short-and long-run volatilities in the US and Global economic policy uncertainties, and crude oil market uncertainties (GEPU, OVX, respectively). Our findings from a GARCH-MIDAS methodology that takes the US industrial production and the US economic policy uncertainty (EPU) into account, Markov switching regressions (MSR) and Quantile Granger causality tests suggest that the association of realized short-term and long-term volatilities and global policy and oil market uncertainties are stable over time. Both the short- and long-term volatilities (STV and LTV, respectively) are Granger caused by GEPU and OVX at some quantiles. These findings have significant ramifications for policy makers and natural gas users in US.

Suggested Citation

  • Bahram Adrangi & Ales Kresta & Kambiz Raffiee & Tomas Tichy, 2025. "Volatility in U.S. Natural Gas Prices: Exploring Market Dynamics and Economic Policy Uncertainties," Bulletin of Applied Economics, Risk Market Journals, vol. 12(2), pages 183-208.
    • Handle: RePEc:rmk:rmkbae:v:12:y:2025:i:2:p:183-208
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    JEL classification:

    • Q31 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Demand and Supply; Prices
    • Q39 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Other
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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