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The Nexus between Natural Gas Spot and Futures Prices at NYMEX: Do Weather Shocks and Non-Linear Causality in Low Frequencies Matter?

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  • Dergiades, Theologos

    () (International Hellenic University (IHU))

  • Madlener, Reinhard

    () (E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN))

  • Christofidou, Georgia

    () (International Hellenic University (IHU))

Abstract

The existence of non-linear dynamics in the prices of financial commodities is an endemic feature and one of the most fundamental stylized facts in the literature. This study, conditioning on weather shocks, investigates the nature of the existing predictive power between natural gas spot and futures prices with one-month maturity at the NYMEX market. By implementing successively, before and after a first-moment filtering, a frequency domain causality test [Breitung J., Candelon B., 2006. Testing for short- and long-run causality: a frequency domain approach. Journal of Econometrics 132, 363-378], we corroborated a unidirectional non-linear forecasting ability in low frequencies that runs from the short maturity futures market towards the spot market.

Suggested Citation

  • Dergiades, Theologos & Madlener, Reinhard & Christofidou, Georgia, 2012. "The Nexus between Natural Gas Spot and Futures Prices at NYMEX: Do Weather Shocks and Non-Linear Causality in Low Frequencies Matter?," FCN Working Papers 17/2012, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN), revised Sep 2013.
    • Handle: RePEc:ris:fcnwpa:2012_017
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    Cited by:

    1. Nick, Sebastian, 2013. "Price Formation and Intertemporal Arbitrage within a Low-Liquidity Framework: Empirical Evidence from European Natural Gas Markets," EWI Working Papers 2013-14, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI).
    2. Rohlfs, Wilko & Madlener, Reinhard, 2013. "Challenges in the Evaluation of Ultra-Long-Lived Projects: Risk Premia for Projects with Eternal Returns or Costs," FCN Working Papers 13/2013, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
    3. Mohammed I Shuaibu & Mutiu A Oyinlola, 2013. "Do structural breaks matter in the growth-environment nexus in Nigeria?," Economics Bulletin, AccessEcon, vol. 33(4), pages 2982-2994.
    4. Sebastian Nick, 2016. "The Informational Efficiency of European Natural Gas Hubs: Price Formation and Intertemporal Arbitrage," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
    5. Harmsen - van Hout, Marjolein & Ghosh, Gaurav & Madlener, Reinhard, 2013. "The Impact of Green Framing on Consumers’ Valuations of Energy-Saving Measures," FCN Working Papers 7/2013, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
    6. Harmsen - van Hout, Marjolein & Ghosh, Gaurav & Madlener, Reinhard, 2013. "An Evaluation of Attribute Anchoring Bias in a Choice Experimental Setting," FCN Working Papers 6/2013, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).

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    Keywords

    Natural gas; Spot and futures markets; Frequency domain causality;

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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