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Financial Stress and Basis in Energy Markets

Author

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  • Niaz Bashiri Behmiri
  • Maryam Ahmadi
  • Juha-Pekka Junttila
  • Matteo Manera

Abstract

We investigate the relationship between energy commodities bases, inventory and financial stress from 1994 to 2018. We find that, from the 1998 Asian crisis the effect of financial stress on energy commodities bases gradually increased and from the 2008 crisis became positive, while the effect of inventory showed a gradual decline over time. The reactions of bases to changes in financial stress is nonlinear, as they are higher in the high financial stress periods. This is more profound in crude oil market than heating oil and natural gas. Moreover, the reactions of bases to the changes in inventory is nonlinear, as the reactions are lower when the inventory level is high confirming the theory of storage. We suggest that, in energy market, changes of inventory do not fully explain the variation of energy commodities bases, as the connection between commodity and financial markets increased during the recent years.

Suggested Citation

  • Niaz Bashiri Behmiri & Maryam Ahmadi & Juha-Pekka Junttila & Matteo Manera, 2021. "Financial Stress and Basis in Energy Markets," The Energy Journal, , vol. 42(5), pages 67-88, September.
    • Handle: RePEc:sae:enejou:v:42:y:2021:i:5:p:67-88
    DOI: 10.5547/01956574.42.5.nbeh
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    References listed on IDEAS

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    Cited by:

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    2. Shahbaz, Muhammad & Sheikh, Umaid A. & Tabash, Mosab I. & Jiao, Zhilun, 2024. "Shock transmission between climate policy uncertainty, financial stress indicators, oil price uncertainty and industrial metal volatility: Identifying moderators, hedgers and shock transmitters," Energy Economics, Elsevier, vol. 136(C).
    3. Wang, Kai & Zhang, Cheng & Zhou, Zhiping, 2025. "The impact of financial stress shocks on commodity prices," Journal of International Money and Finance, Elsevier, vol. 159(C).
    4. Hayet Soltani & Mouna Boujelbène Abbes, 2025. "Regime-Specific Spillover Effects Between Financial Stress, GCC Stock Markets, Brent Crude Oil, and the Gold Market," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 16(2), pages 8840-8866, June.

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