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The co-movements along the forward curve of natural gas futures: a structural view

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  • Spargoli, Fabrizio
  • Zagaglia, Paolo

Abstract

We study the term structure implications of the fiscal theory of price level determination. We introduce the intertemporal budget constraint of the government in a general equilibrium model in continuous time. Fiscal policy is set according to a simple rule whereby taxes react proportionally to real debt. We show how to solve for the prices of real and nominal zero coupon bonds.

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  • Spargoli, Fabrizio & Zagaglia, Paolo, 2008. "The co-movements along the forward curve of natural gas futures: a structural view," Bank of Finland Research Discussion Papers 26/2008, Bank of Finland.
    • Handle: RePEc:zbw:bofrdp:rdp2008_026
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    References listed on IDEAS

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    7. Hafner, Christian M. & Herwartz, Helmut, 2006. "Volatility impulse responses for multivariate GARCH models: An exchange rate illustration," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 719-740, August.
    8. Spargoli, Fabrizio & Zagaglia, Paolo, 2007. "The Comovements between Futures Markets for Crude Oil: Evidence from a Structural GARCH Model," Research Papers in Economics 2007:15, Stockholm University, Department of Economics.
    9. Lin, Sharon Xiaowen & Tamvakis, Michael N., 2001. "Spillover effects in energy futures markets," Energy Economics, Elsevier, vol. 23(1), pages 43-56, January.
    10. Marzo, Massimiliano & Zagaglia, Paolo, 2008. "A note on the conditional correlation between energy prices: Evidence from future markets," Energy Economics, Elsevier, vol. 30(5), pages 2454-2458, September.
    11. Ewing, Bradley T. & Malik, Farooq & Ozfidan, Ozkan, 2002. "Volatility transmission in the oil and natural gas markets," Energy Economics, Elsevier, vol. 24(6), pages 525-538, November.
    12. Roberto Rigobon, 2003. "Identification Through Heteroskedasticity," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 777-792, November.
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    More about this item

    Keywords

    bond pricing; fiscal policy; mathematical methods;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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