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Research on the Linkage Effect of Natural Gas Price

Author

Listed:
  • Jian Wang*

    (School of Mathematics and Statistics, Shandong University of Technology, Shandong Province, China)

  • Guangshuai Zhou

    (School of Mathematics and Statistics, Shandong University of Technology, Shandong Province, China)

Abstract

In this paper, we develop a vector error correction model for US natural gas market. It allows us to analyze the linkage effect of the natural gas price from 1998 to 2016. In particular, we prove the evidence that there is a long-term equilibrium relationship in US natural gas, coal and crude oil prices. Impulse response function and variance decomposition are used to examine the linkage effects that a shock in coal and crude oil price would have on natural gas price.

Suggested Citation

  • Jian Wang* & Guangshuai Zhou, 2018. "Research on the Linkage Effect of Natural Gas Price," Academic Journal of Applied Mathematical Sciences, Academic Research Publishing Group, vol. 4(9), pages 90-94, 09-2018.
    • Handle: RePEc:arp:ajoams:2018:p:90-94
    DOI: arpgweb.com/?ic=journal&journal=17&info=aims
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    References listed on IDEAS

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    1. 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.
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