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Natural gas markets: how sensitive are they to crude oil price changes?

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  • Ibrahim A. Onour

Abstract

This paper investigates sensitivity of US natural gas price with crude oil price changes, using time-varying coefficient models. Identification of the range of variation of the sensitivity of natural gas price to oil price change allows more accurate assessment of upper and minimum risk levels that can be utilised in pricing natural gas derivatives such as gas futures and option contracts, and gas storage facility contracts. Copyright 2009 The Author. Journal compilation 2009 Organization of the Petroleum Exporting Countries.

Suggested Citation

  • Ibrahim A. Onour, 2009. "Natural gas markets: how sensitive are they to crude oil price changes?," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 33(2), pages 111-124, June.
    • Handle: RePEc:bla:opecrv:v:33:y:2009:i:2:p:111-124
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    Cited by:

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    2. Subhani, Muhammad Imtiaz & Hasan, Syed Akif & Osman, Ms. Amber, 2012. "Are the Prices of Light Diesel Oil, Gasoline, CNG and Kerosene Oil Co-Integrated?," MPRA Paper 45142, University Library of Munich, Germany.
    3. Cornille, David & Meyler, Aidan, 2010. "The behaviour of consumer gas prices in an environment of high and volatile oil prices," MPRA Paper 39099, University Library of Munich, Germany.
    4. Gatfaoui, Hayette, 2016. "Linking the gas and oil markets with the stock market: Investigating the U.S. relationship," Energy Economics, Elsevier, vol. 53(C), pages 5-16.
    5. Zied Ftiti & Kais Tissaoui & Sahbi Boubaker, 2022. "On the relationship between oil and gas markets: a new forecasting framework based on a machine learning approach," Annals of Operations Research, Springer, vol. 313(2), pages 915-943, June.

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