A Wavelet Analysis of the Relationship between Oil and Natural Gas Prices
Author
Abstract
Suggested Citation
Download full text from publisher
To our knowledge, this item is not available for download. To find whether it is available, there are three options:1. Check below whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Other versions of this item:
- Tiwari, Aviral Kumar & Mukherjee, Zinnia & Gupta, Rangan & Balcilar, Mehmet, 2019. "A wavelet analysis of the relationship between oil and natural gas prices," Resources Policy, Elsevier, vol. 60(C), pages 118-124.
References listed on IDEAS
- Charles F. Mason & Lucija A. Muehlenbachs & Sheila M. Olmstead, 2015.
"The Economics of Shale Gas Development,"
Annual Review of Resource Economics, Annual Reviews, vol. 7(1), pages 269-289, October.
- Charles F. Mason & Lucija A. Muehlenbachs & Sheila M. Olmstead, 2015. "The Economics of Shale Gas Development," Working Papers 2015.17, Fondazione Eni Enrico Mattei.
- Mason, Charles F. & Muehlenbachs, Lucija A. & Olmstead, Sheila M., 2015. "The Economics of Shale Gas Development," Energy: Resources and Markets 198980, Fondazione Eni Enrico Mattei (FEEM).
- Peter R. Hartley and Kenneth B. Medlock III, 2014. "The Relationship between Crude Oil and Natural Gas Prices: The Role of the Exchange Rate," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
- Ji, Qiang & Zhang, Hai-Ying & Geng, Jiang-Bo, 2018. "What drives natural gas prices in the United States? – A directed acyclic graph approach," Energy Economics, Elsevier, vol. 69(C), pages 79-88.
- Lutz Kilian, 2016.
"The Impact of the Shale Oil Revolution on U.S. Oil and Gasoline Prices,"
Review of Environmental Economics and Policy, Association of Environmental and Resource Economists, vol. 10(2), pages 185-205.
- Kilian, Lutz, 2014. "The impact of the shale oil revolution on U.S. oil and gasoline prices," CFS Working Paper Series 499, Center for Financial Studies (CFS).
- Lutz Kilian, 2016. "The Impact of the Shale Oil Revolution on U.S. Oil and Gasoline Prices," CESifo Working Paper Series 5723, CESifo.
- Kilian, Lutz, 2014. "The Impact of the Shale Oil Revolution on U.S. Oil and Gasoline Prices," CEPR Discussion Papers 10304, C.E.P.R. Discussion Papers.
- Monge, Manuel & Gil-Alana, Luis A. & Pérez de Gracia, Fernando, 2017. "U.S. shale oil production and WTI prices behaviour," Energy, Elsevier, vol. 141(C), pages 12-19.
- Aguiar-Conraria, LuI´s & Joana Soares, Maria, 2011.
"Business cycle synchronization and the Euro: A wavelet analysis,"
Journal of Macroeconomics, Elsevier, vol. 33(3), pages 477-489, September.
- Luís Francisco Aguiar & Maria Joana Soares, 2010. "Business Cycle Synchronization and the Euro: a Wavelet Analysis," NIPE Working Papers 36/2010, NIPE - Universidade do Minho.
- David J. Ramberg and John E. Parsons, 2012. "The Weak Tie Between Natural Gas and Oil Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
- Fan, Yanqin & Gençay, Ramazan, 2010.
"Unit Root Tests With Wavelets,"
Econometric Theory, Cambridge University Press, vol. 26(5), pages 1305-1331, October.
- Gencay, Ramazan & Fan, Yanqin, 2007. "Unit Root Tests with Wavelets," MPRA Paper 9832, University Library of Munich, Germany.
- Caporin, Massimiliano & Fontini, Fulvio, 2017.
"The long-run oil–natural gas price relationship and the shale gas revolution,"
Energy Economics, Elsevier, vol. 64(C), pages 511-519.
- Massimiliano Caporin & Fulvio Fontini, 2015. "The Long-Run Oil-Natural Gas Price Relationship And The Shale Gas Revolution," "Marco Fanno" Working Papers 0198, Dipartimento di Scienze Economiche "Marco Fanno".
- Catherine Hausman & Ryan Kellogg, 2015.
"Welfare and Distributional Implications of Shale Gas,"
Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 46(1 (Spring), pages 71-139.
- Catherine Hausman & Ryan Kellogg, 2015. "Welfare and Distributional Implications of Shale Gas," NBER Working Papers 21115, National Bureau of Economic Research, Inc.
- Geng, Jiang-Bo & Ji, Qiang & Fan, Ying, 2016. "The impact of the North American shale gas revolution on regional natural gas markets: Evidence from the regime-switching model," Energy Policy, Elsevier, vol. 96(C), pages 167-178.
- Brown, Stephen P.A. & Krupnick, Alan, 2010. "Abundant Shale Gas Resources: Long-Term Implications for U.S. Natural Gas Markets," RFF Working Paper Series dp-10-41, Resources for the Future.
- Aguiar-Conraria, Luís & Azevedo, Nuno & Soares, Maria Joana, 2008. "Using wavelets to decompose the time–frequency effects of monetary policy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(12), pages 2863-2878.
- Yogo, Motohiro, 2008. "Measuring business cycles: A wavelet analysis of economic time series," Economics Letters, Elsevier, vol. 100(2), pages 208-212, August.
- Brigida, Matthew, 2014. "The switching relationship between natural gas and crude oil prices," Energy Economics, Elsevier, vol. 43(C), pages 48-55.
- Hahn Shik Lee, 2004. "International transmission of stock market movements: a wavelet analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 11(3), pages 197-201.
- Geng, Jiang-Bo & Ji, Qiang & Fan, Ying, 2016. "The behaviour mechanism analysis of regional natural gas prices: A multi-scale perspective," Energy, Elsevier, vol. 101(C), pages 266-277.
- Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Arslanturk, Yalcin, 2010. "Economic growth and energy consumption causal nexus viewed through a bootstrap rolling window," Energy Economics, Elsevier, vol. 32(6), pages 1398-1410, November.
- Geng, Jiang-Bo & Ji, Qiang & Fan, Ying, 2017. "The relationship between regional natural gas markets and crude oil markets from a multi-scale nonlinear Granger causality perspective," Energy Economics, Elsevier, vol. 67(C), pages 98-110.
- Zhang, Dayong & Ji, Qiang, 2018. "Further evidence on the debate of oil-gas price decoupling: A long memory approach," Energy Policy, Elsevier, vol. 113(C), pages 68-75.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Dejan Živkov & Suzana Balaban & Marko Pećanac, 2021. "Assessing the multiscale “meteor shower” effect from oil to the central and eastern European stock indices," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1855-1870, April.
- Albulescu, Claudiu Tiberiu & Mutascu, Mihai Ioan, 2021.
"Fuel price co-movements among France, Germany and Italy: A time-frequency investigation,"
Energy, Elsevier, vol. 225(C).
- Claudiu Tiberiu Albulescu & Mihai Ioan Mutascu, 2021. "Fuel price co-movements among France, Germany and Italy: A time-frequency investigation," Post-Print hal-03529585, HAL.
- Li, Boying & Zheng, Mingbo & Zhao, Xinxin & Chang, Chun-Ping, 2021. "An assessment of the effect of partisan ideology on shale gas production and the implications for environmental regulations," Economic Systems, Elsevier, vol. 45(3).
- Su, Chi Wei & Qin, Meng & Chang, Hsu-Ling & Țăran, Alexandra-Mădălina, 2023. "Which risks drive European natural gas bubbles? Novel evidence from geopolitics and climate," Resources Policy, Elsevier, vol. 81(C).
- Pan, Xunzhang & Wang, Lining & Dai, Jiaquan & Zhang, Qi & Peng, Tianduo & Chen, Wenying, 2020. "Analysis of China’s oil and gas consumption under different scenarios toward 2050: An integrated modeling," Energy, Elsevier, vol. 195(C).
- Asadi, Mehrad & Roubaud, David & Tiwari, Aviral Kumar, 2022. "Volatility spillovers amid crude oil, natural gas, coal, stock, and currency markets in the US and China based on time and frequency domain connectedness," Energy Economics, Elsevier, vol. 109(C).
- Qi, Yajie & Li, Huajiao & Liu, Yanxin & Feng, Sida & Li, Yang & Guo, Sui, 2020. "Granger causality transmission mechanism of steel product prices under multiple scales—The industrial chain perspective," Resources Policy, Elsevier, vol. 67(C).
- Wei, Zhaohao & Chai, Jian & Dong, Jichang & Lu, Quanying, 2022. "Understanding the linkage-dependence structure between oil and gas markets: A new perspective," Energy, Elsevier, vol. 257(C).
- Jiang, Zhuhua & Yoon, Seong-Min, 2020. "Dynamic co-movement between oil and stock markets in oil-importing and oil-exporting countries: Two types of wavelet analysis," Energy Economics, Elsevier, vol. 90(C).
- Faisal, Faisal & Rahman, Sami Ur & Chander, Rajnesh & Ali, Adnan & Ramakrishnan, Suresh & Ozatac, Nesrin & Ullah, Mr Noor & Tursoy, Turgut, 2021. "Investigating the nexus between GDP, oil prices, FDI, and tourism for emerging economy: Empirical evidence from the novel fourier ARDL and hidden cointegration," Resources Policy, Elsevier, vol. 74(C).
- Tiwari, Aviral Kumar & Cunado, Juncal & Hatemi-J, Abdulnasser & Gupta, Rangan, 2019.
"Oil price-inflation pass-through in the United States over 1871 to 2018: A wavelet coherency analysis,"
Structural Change and Economic Dynamics, Elsevier, vol. 50(C), pages 51-55.
- Aviral Kumar Tiwari & Juncal Cunado & Abdulnasser Hatemi-J & Rangan Gupta, 2018. "Oil Price-Inflation Pass-Through in the United States over 1871 to 2018: A Wavelet Coherency Analysis," Working Papers 201865, University of Pretoria, Department of Economics.
- Mehmet Balcilar & Usman Ojonugwa, 2018. "Exchange rate and oil price pass-through to inflation in BRICS countries: Evidence from the spillover index and rolling-sample analysis," Working Papers 15-45, Eastern Mediterranean University, Department of Economics.
- Tadahiro Nakajima & Yuki Toyoshima, 2019. "Measurement of Connectedness and Frequency Dynamics in Global Natural Gas Markets," Energies, MDPI, vol. 12(20), pages 1-15, October.
- Zhao, Yiran & Gao, Xiangyun & An, Haizhong & Xi, Xian & Sun, Qingru & Jiang, Meihui, 2020. "The effect of the mined cobalt trade dependence Network's structure on trade price," Resources Policy, Elsevier, vol. 65(C).
- Oleksandr Castello & Marina Resta, 2023. "A Machine-Learning-Based Approach for Natural Gas Futures Curve Modeling," Energies, MDPI, vol. 16(12), pages 1-22, June.
- Mastroeni, Loretta & Mazzoccoli, Alessandro & Quaresima, Greta & Vellucci, Pierluigi, 2022. "Wavelet analysis and energy-based measures for oil-food price relationship as a footprint of financialisation effect," Resources Policy, Elsevier, vol. 77(C).
- Chen, Rongda & Wang, Shengnan & Ye, Mengya & Jin, Chenglu & Ren, He & Chen, Shu, 2022. "Cross-Market Investor Sentiment of Energy Futures and Return Comovements," Finance Research Letters, Elsevier, vol. 49(C).
- Kumar, Satish & Pradhan, Ashis Kumar & Tiwari, Aviral Kumar & Kang, Sang Hoon, 2019. "Correlations and volatility spillovers between oil, natural gas, and stock prices in India," Resources Policy, Elsevier, vol. 62(C), pages 282-291.
- Choi, Sun-Yong, 2022. "Credit risk interdependence in global financial markets: Evidence from three regions using multiple and partial wavelet approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
- Naeem, Muhammad Abubakr & Peng, Zhe & Bouri, Elie & Hussain Shahzad, Syed Jawad & Karim, Sitara, 2022. "Examining the asymmetries between equity and commodity ETFs during COVID-19," Resources Policy, Elsevier, vol. 79(C).
- Mensi, Walid & Rehman, Mobeen Ur & Maitra, Debasish & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh, 2021. "Oil, natural gas and BRICS stock markets: Evidence of systemic risks and co-movements in the time-frequency domain," Resources Policy, Elsevier, vol. 72(C).
- Fasanya, Ismail & Adekoya, Oluwasegun & Oyewole, Oluwatomisin & Adegboyega, Soliu, 2022. "Investor sentiment and energy futures predictability: Evidence from Feasible Quasi Generalized Least Squares," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
- Kumar, Sourabh & Barua, Mukesh Kumar, 2022. "A modeling framework and analysis of challenges faced by the Indian petroleum supply chain," Energy, Elsevier, vol. 239(PE).
- Balcilar, Mehmet & Usman, Ojonugwa, 2021. "Exchange rate and oil price pass-through in the BRICS countries: Evidence from the spillover index and rolling-sample analysis," Energy, Elsevier, vol. 229(C).
- Michał Rubaszek & Karol Szafranek, 2022. "Have European natural gas prices decoupled from crude oil prices? Evidence from TVP-VAR analysis," KAE Working Papers 2022-078, Warsaw School of Economics, Collegium of Economic Analysis.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Wei, Zhaohao & Chai, Jian & Dong, Jichang & Lu, Quanying, 2022. "Understanding the linkage-dependence structure between oil and gas markets: A new perspective," Energy, Elsevier, vol. 257(C).
- Shi, Xunpeng & Shen, Yifan, 2021. "Macroeconomic uncertainty and natural gas prices: Revisiting the Asian Premium," Energy Economics, Elsevier, vol. 94(C).
- Wang, TianTian & Zhang, Dayong & Clive Broadstock, David, 2019. "Financialization, fundamentals, and the time-varying determinants of US natural gas prices," Energy Economics, Elsevier, vol. 80(C), pages 707-719.
- Wang, Tiantian & Zhang, Dayong & Ji, Qiang & Shi, Xunpeng, 2020. "Market reforms and determinants of import natural gas prices in China," Energy, Elsevier, vol. 196(C).
- Wang, Tiantian & Qu, Wan & Zhang, Dayong & Ji, Qiang & Wu, Fei, 2022. "Time-varying determinants of China's liquefied natural gas import price: A dynamic model averaging approach," Energy, Elsevier, vol. 259(C).
- Zhang, Dayong & Wang, Tiantian & Shi, Xunpeng & Liu, Jia, 2018. "Is hub-based pricing a better choice than oil indexation for natural gas? Evidence from a multiple bubble test," Energy Economics, Elsevier, vol. 76(C), pages 495-503.
- Ji, Qiang & Geng, Jiang-Bo & Tiwari, Aviral Kumar, 2018. "Information spillovers and connectedness networks in the oil and gas markets," Energy Economics, Elsevier, vol. 75(C), pages 71-84.
- Feng, Gen-Fu & Wang, Quan-Jing & Chu, Yin & Wen, Jun & Chang, Chun-Ping, 2021. "Does the shale gas boom change the natural gas price-production relationship? Evidence from the U.S. market," Energy Economics, Elsevier, vol. 93(C).
- Ben Gilbert & Gavin Roberts, 2018. "Supply-side links in oil and gas markets," Working Papers 2018-04, Colorado School of Mines, Division of Economics and Business.
- Zhang, Dayong & Ji, Qiang, 2018. "Further evidence on the debate of oil-gas price decoupling: A long memory approach," Energy Policy, Elsevier, vol. 113(C), pages 68-75.
- Zhang, Dayong & Shi, Min & Shi, Xunpeng, 2018. "Oil indexation, market fundamentals, and natural gas prices: An investigation of the Asian premium in natural gas trade," Energy Economics, Elsevier, vol. 69(C), pages 33-41.
- Nikitopoulos, Christina Sklibosios & Thomas, Alice Carole & Wang, Jianxin, 2023. "The economic impact of daily volatility persistence on energy markets," Journal of Commodity Markets, Elsevier, vol. 30(C).
- Cuilin Li & Ya-Juan Du & Qiang Ji & Jiang-bo Geng, 2019. "Multiscale Market Integration and Nonlinear Granger Causality between Natural Gas Futures and Physical Markets," Sustainability, MDPI, vol. 11(19), pages 1-23, October.
- Halser, Christoph & Paraschiv, Florentina & Russo, Marianna, 2023. "Oil–gas price relationships on three continents: Disruptions and equilibria," Journal of Commodity Markets, Elsevier, vol. 31(C).
- Li, Xiuming & Sun, Mei & Gao, Cuixia & He, Huizi, 2019. "The spillover effects between natural gas and crude oil markets: The correlation network analysis based on multi-scale approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 306-324.
- Sexton, Steven & Eyer, Jonathan, 2016. "Leveling the playing field of transportation fuels: Accounting for indirect emissions of natural gas," Energy Policy, Elsevier, vol. 95(C), pages 21-31.
- Yanting Chen & Peter R. Hartley & Yihui Lan, 2023. "Temperature, storage, and natural gas futures prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(4), pages 549-575, April.
- Ji, Qiang & Zhang, Hai-Ying & Geng, Jiang-Bo, 2018. "What drives natural gas prices in the United States? – A directed acyclic graph approach," Energy Economics, Elsevier, vol. 69(C), pages 79-88.
- Hou, Chenghan & Nguyen, Bao H., 2018. "Understanding the US natural gas market: A Markov switching VAR approach," Energy Economics, Elsevier, vol. 75(C), pages 42-53.
- Hailemariam, Abebe & Smyth, Russell, 2019. "What drives volatility in natural gas prices?," Energy Economics, Elsevier, vol. 80(C), pages 731-742.
More about this item
Keywords
Oil and Natural Gas Prices; Shale Gas Revolution; Wavelet Analysis;All these keywords.
JEL classification:
- C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
- Q31 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Demand and Supply; Prices
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ENE-2018-05-28 (Energy Economics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pre:wpaper:201831. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Rangan Gupta (email available below). General contact details of provider: https://edirc.repec.org/data/decupza.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.