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How Does the U.S. Natural Gas Market React to Demand and Supply Shocks in the Crude Oil Market?

Author

Listed:
  • Ali Jadidzadeh
  • Apostolos Serletis

    (University of Calgary)

Abstract

In this paper we use monthly data (over the period from January 1976 to December 2012) and a structural VAR model to disentangle demand and supply shocks in the global crude oil market and investigate their effects on the real price of natural gas in the United States. We identify the model by assuming that innovations to the real price of crude oil are predetermined with respect to the natural gas market and show that close to 45% of the variation in the real price of natural gas can be attributed to structural supply and demand shocks in the global crude oil market.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Ali Jadidzadeh & Apostolos Serletis, "undated". "How Does the U.S. Natural Gas Market React to Demand and Supply Shocks in the Crude Oil Market?," Working Papers 2017-02, Department of Economics, University of Calgary.
  • Handle: RePEc:clg:wpaper:2017-02
    as

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    File URL: https://econ.ucalgary.ca/sites/econ.ucalgary.ca.manageprofile/files/unitis/publications/1-7642601/Jadidzadeh_and_Serletis_EE.pdf
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    References listed on IDEAS

    as
    1. Lance J. Bachmeier & James M. Griffin, 2006. "Testing for Market Integration: Crude Oil, Coal, and Natural Gas," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 55-72.
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    5. Lutz Kilian & Cheolbeom Park, 2009. "The Impact Of Oil Price Shocks On The U.S. Stock Market," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(4), pages 1267-1287, November.
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    Cited by:

    1. repec:eee:finlet:v:24:y:2018:i:c:p:25-33 is not listed on IDEAS
    2. Bao H. NGUYEN & OKIMOTO Tatsuyoshi, 2017. "Asymmetric Reactions of the U.S. Natural Gas Market and Economic Activity," Discussion papers 17102, Research Institute of Economy, Trade and Industry (RIETI).
    3. repec:eee:enepol:v:113:y:2018:i:c:p:68-75 is not listed on IDEAS

    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy

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