IDEAS home Printed from https://ideas.repec.org/a/eee/energy/v205y2020ics0360544220311129.html
   My bibliography  Save this article

The time-frequency impacts of natural gas prices on US economic activity

Author

Listed:
  • Geng, Jiang-Bo
  • Xu, Xiao-Yue
  • Ji, Qiang

Abstract

In this study, we examine the return and volatility information spillover effects of the natural gas market on US sectoral stock markets. A time-frequency connectedness approach is applied to specifically capture the time-varying characteristics of the links between natural gas and stock markets in different frequency domains. We find that return and volatility information spillover between the natural gas market and all US sectoral stock markets is mainly generated in the short term and that the influence of the natural gas market on different sectoral stock markets has heterogeneous and time-varying characteristics. In the return system, the natural gas market is mainly a net information receiver at both short and long time scales. However, in the volatility system, the information spillover effect of the natural gas market on most other sectoral stock markets is significant at a short time scale. These new findings can offer decision support for natural gas policy makers and market participants.

Suggested Citation

  • Geng, Jiang-Bo & Xu, Xiao-Yue & Ji, Qiang, 2020. "The time-frequency impacts of natural gas prices on US economic activity," Energy, Elsevier, vol. 205(C).
    • Handle: RePEc:eee:energy:v:205:y:2020:i:c:s0360544220311129
    DOI: 10.1016/j.energy.2020.118005
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0360544220311129
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.energy.2020.118005?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Jin, Wei & Zhang, ZhongXiang, 2016. "On the mechanism of international technology diffusion for energy technological progress," Resource and Energy Economics, Elsevier, vol. 46(C), pages 39-61.
    2. Diebold, Francis X. & Yılmaz, Kamil, 2014. "On the network topology of variance decompositions: Measuring the connectedness of financial firms," Journal of Econometrics, Elsevier, vol. 182(1), pages 119-134.
    3. Shahbaz, Muhammad & Arouri, Mohamed & Teulon, Frédéric, 2014. "Short- and long-run relationships between natural gas consumption and economic growth: Evidence from Pakistan," Economic Modelling, Elsevier, vol. 41(C), pages 219-226.
    4. Jozef Baruník and Ev~en Kocenda, 2019. "Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets," The Energy Journal, International Association for Energy Economics, vol. 0(Special I).
    5. Aguilera, Roberto F. & Ripple, Ronald D., 2012. "Technological progress and the availability of European oil and gas resources," Applied Energy, Elsevier, vol. 96(C), pages 387-392.
    6. Lutz Kilian, 2008. "Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy?," The Review of Economics and Statistics, MIT Press, vol. 90(2), pages 216-240, May.
    7. Lutz Kilian & Cheolbeom Park, 2009. "The Impact Of Oil Price Shocks On The U.S. Stock Market," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(4), pages 1267-1287, November.
    8. El Hedi Arouri, Mohamed & Jouini, Jamel & Nguyen, Duc Khuong, 2011. "Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1387-1405.
    9. Nguyen, Bao H. & Okimoto, Tatsuyoshi, 2019. "Asymmetric reactions of the US natural gas market and economic activity," Energy Economics, Elsevier, vol. 80(C), pages 86-99.
    10. Kevin L. Kliesen, 2006. "Rising natural gas prices and real economic activity," Review, Federal Reserve Bank of St. Louis, vol. 88(Nov), pages 511-526.
    11. Marfatia, Hardik & Zhao, Wan-Li & Ji, Qiang, 2020. "Uncovering the global network of economic policy uncertainty," Research in International Business and Finance, Elsevier, vol. 53(C).
    12. Bergmann, Philip, 2019. "Oil price shocks and GDP growth: Do energy shares amplify causal effects?," Energy Economics, Elsevier, vol. 80(C), pages 1010-1040.
    13. Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," American Economic Review, American Economic Association, vol. 99(3), pages 1053-1069, June.
    14. Hamilton, James D., 2003. "What is an oil shock?," Journal of Econometrics, Elsevier, vol. 113(2), pages 363-398, April.
    15. Diebold, Francis X. & Yilmaz, Kamil, 2012. "Better to give than to receive: Predictive directional measurement of volatility spillovers," International Journal of Forecasting, Elsevier, vol. 28(1), pages 57-66.
    16. repec:ipg:wpaper:2014-289 is not listed on IDEAS
    17. Furuoka, Fumitaka, 2016. "Natural gas consumption and economic development in China and Japan: An empirical examination of the Asian context," Renewable and Sustainable Energy Reviews, Elsevier, vol. 56(C), pages 100-115.
    18. Chen, Shiu-Sheng & Hsu, Kai-Wei, 2012. "Reverse globalization: Does high oil price volatility discourage international trade?," Energy Economics, Elsevier, vol. 34(5), pages 1634-1643.
    19. Apergis, Nicholas & Payne, James E., 2010. "Natural gas consumption and economic growth: A panel investigation of 67 countries," Applied Energy, Elsevier, vol. 87(8), pages 2759-2763, August.
    20. Ji, Qiang & Bahloul, Walid & Geng, Jiang-Bo & Gupta, Rangan, 2020. "Trading behaviour connectedness across commodity markets: Evidence from the hedgers’ sentiment perspective," Research in International Business and Finance, Elsevier, vol. 52(C).
    21. Vipin Arora and Jozef Lieskovsky, 2014. "Natural Gas and U.S. Economic Activity," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
    22. Fadiran, Gideon & Adebusuyi, Adebisi T. & Fadiran, David, 2019. "Natural gas consumption and economic growth: Evidence from selected natural gas vehicle markets in Europe," Energy, Elsevier, vol. 169(C), pages 467-477.
    23. Balli, Faruk & Naeem, Muhammad Abubakr & Shahzad, Syed Jawad Hussain & de Bruin, Anne, 2019. "Spillover network of commodity uncertainties," Energy Economics, Elsevier, vol. 81(C), pages 914-927.
    24. Mork, Knut Anton, 1989. "Oil and Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results," Journal of Political Economy, University of Chicago Press, vol. 97(3), pages 740-744, June.
    25. Wu, Fei & Zhao, Wan-Li & Ji, Qiang & Zhang, Dayong, 2020. "Dependency, centrality and dynamic networks for international commodity futures prices," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 118-132.
    26. Arora, Vipin, 2018. "Natural Gas and the US Economy: Some Preliminary Rules of Thumb," MPRA Paper 87279, University Library of Munich, Germany.
    27. Hamilton, James D, 1983. "Oil and the Macroeconomy since World War II," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 228-248, April.
    28. Ozturk, Ilhan & Al-Mulali, Usama, 2015. "Natural gas consumption and economic growth nexus: Panel data analysis for GCC countries," Renewable and Sustainable Energy Reviews, Elsevier, vol. 51(C), pages 998-1003.
    29. Ferrer, Román & Shahzad, Syed Jawad Hussain & López, Raquel & Jareño, Francisco, 2018. "Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices," Energy Economics, Elsevier, vol. 76(C), pages 1-20.
    30. Szczygiel, Ireneusz & Bulinski, Zbigniew, 2018. "Overview of the liquid natural gas (LNG) regasification technologies with the special focus on the Prof. Szargut's impact," Energy, Elsevier, vol. 165(PB), pages 999-1008.
    31. Wang, Xunxiao & Wang, Yudong, 2019. "Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspective," Energy Economics, Elsevier, vol. 80(C), pages 995-1009.
    32. Xiao, Bowen & Fan, Ying & Guo, Xiaodan, 2018. "Exploring the macroeconomic fluctuations under different environmental policies in China: A DSGE approach," Energy Economics, Elsevier, vol. 76(C), pages 439-456.
    33. Song, Yingjie & Ji, Qiang & Du, Ya-Juan & Geng, Jiang-Bo, 2019. "The dynamic dependence of fossil energy, investor sentiment and renewable energy stock markets," Energy Economics, Elsevier, vol. 84(C).
    34. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Bouri, Elie & Lei, Xiaojie & Xu, Yahua & Zhang, Hongwei, 2023. "Connectedness in implied higher-order moments of precious metals and energy markets," Energy, Elsevier, vol. 263(PB).
    2. Disli, Mustafa & Nagayev, Ruslan & Salim, Kinan & Rizkiah, Siti K. & Aysan, Ahmet F., 2021. "In search of safe haven assets during COVID-19 pandemic: An empirical analysis of different investor types," Research in International Business and Finance, Elsevier, vol. 58(C).
    3. Dang, Tam Hoang Nhat & Balli, Faruk & Balli, Hatice Ozer & Gabauer, David & Nguyen, Thi Thu Ha, 2024. "Sectoral uncertainty spillovers in emerging markets: A quantile time–frequency connectedness approach," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 121-139.
    4. Chao Liang & Feng Ma & Lu Wang & Qing Zeng, 2021. "The information content of uncertainty indices for natural gas futures volatility forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1310-1324, November.
    5. Niu, Hongli & Hu, Wenwen, 2024. "Static and dynamic interdependencies among natural gas, stocks of global major economies and uncertainty," Resources Policy, Elsevier, vol. 94(C).
    6. Pham, Son Duy & Nguyen, Thao Thac Thanh & Do, Hung Xuan, 2023. "Natural gas and the utility sector nexus in the U.S.: Quantile connectedness and portfolio implications," Energy Economics, Elsevier, vol. 120(C).
    7. Sun, Xiaotian & Fang, Wei & Gao, Xiangyun & An, Haizhong & Si, Jingjian & Wei, Hongyu, 2024. "Dynamic interactions among new energy metals and price adjustment strategies: A cross-industry chain perspective," Energy, Elsevier, vol. 303(C).
    8. Ali Shah, Syed Fahad & Qyyum, Muhammad Abdul & Qadeer, Kinza & Lee, Moonyong, 2021. "Sustainable economic growth and export diversification potential for Asian LNG-exporting countries: LNG–petrochemical nexus development using product space model," Energy, Elsevier, vol. 236(C).

    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.
    1. Stavros Degiannakis & George Filis & Vipin Arora, 2018. "Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence," The Energy Journal, , vol. 39(5), pages 85-130, September.
    2. Caporin, Massimiliano & Naeem, Muhammad Abubakr & Arif, Muhammad & Hasan, Mudassar & Vo, Xuan Vinh & Hussain Shahzad, Syed Jawad, 2021. "Asymmetric and time-frequency spillovers among commodities using high-frequency data," Resources Policy, Elsevier, vol. 70(C).
    3. Ashfaq, Saleha & Tang, Yong & Maqbool, Rashid, 2020. "Dynamics of spillover network among oil and leading Asian oil trading countries’ stock markets," Energy, Elsevier, vol. 207(C).
    4. Huszár, Zsuzsa R. & Kotró, Balázs B. & Tan, Ruth S.K., 2023. "Dynamic volatility transfer in the European oil and gas industry," Energy Economics, Elsevier, vol. 127(PA).
    5. Wang, Yudong & Wu, Chongfeng & Yang, Li, 2013. "Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries," Journal of Comparative Economics, Elsevier, vol. 41(4), pages 1220-1239.
    6. Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    7. Wen, Danyan & Wang, Gang-Jin & Ma, Chaoqun & Wang, Yudong, 2019. "Risk spillovers between oil and stock markets: A VAR for VaR analysis," Energy Economics, Elsevier, vol. 80(C), pages 524-535.
    8. Liu, Zhenhua & Shi, Xunpeng & Zhai, Pengxiang & Wu, Shan & Ding, Zhihua & Zhou, Yuqin, 2021. "Tail risk connectedness in the oil-stock nexus: Evidence from a novel quantile spillover approach," Resources Policy, Elsevier, vol. 74(C).
    9. Broadstock, David C. & Filis, George, 2014. "Oil price shocks and stock market returns: New evidence from the United States and China," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 417-433.
    10. Ratti, Ronald A. & Vespignani, Joaquin L., 2013. "Liquidity and crude oil prices: China's influence over 1996–2011," Economic Modelling, Elsevier, vol. 33(C), pages 517-525.
    11. Bakas, Dimitrios & Triantafyllou, Athanasios, 2018. "The impact of uncertainty shocks on the volatility of commodity prices," Journal of International Money and Finance, Elsevier, vol. 87(C), pages 96-111.
    12. Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel & Doğan, Buhari & Adekoya, Oluwasegun B. & Wohar, Mark, 2024. "Asymmetric spillover effects in energy markets," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 470-502.
    13. Bagchi, Bhaskar & Chatterjee, Susmita, 2016. "Effect of fall in crude oil price on stock indices and exchange rates of India and China," MPRA Paper 74836, University Library of Munich, Germany.
    14. repec:ipg:wpaper:2014-080 is not listed on IDEAS
    15. Pham, Son Duy & Nguyen, Thao Thac Thanh & Do, Hung Xuan, 2023. "Natural gas and the utility sector nexus in the U.S.: Quantile connectedness and portfolio implications," Energy Economics, Elsevier, vol. 120(C).
    16. Maghyereh, Aktham & Abdoh, Hussein, 2021. "The impact of extreme structural oil-price shocks on clean energy and oil stocks," Energy, Elsevier, vol. 225(C).
    17. Elsayed, Ahmed H. & Hammoudeh, Shawkat & Sousa, Ricardo M., 2021. "Inflation synchronization among the G7and China: The important role of oil inflation," Energy Economics, Elsevier, vol. 100(C).
    18. Yonghong Jiang & Gengyu Tian & Bin Mo, 2020. "Spillover and quantile linkage between oil price shocks and stock returns: new evidence from G7 countries," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-26, December.
    19. Smyth, Russell & Narayan, Paresh Kumar, 2018. "What do we know about oil prices and stock returns?," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 148-156.
    20. Pan, Zhiyuan & Wang, Yudong & Liu, Li, 2016. "The relationships between petroleum and stock returns: An asymmetric dynamic equi-correlation approach," Energy Economics, Elsevier, vol. 56(C), pages 453-463.
    21. Shang, Jin & Hamori, Shigeyuki, 2024. "Quantile time-frequency connectedness analysis between crude oil, gold, financial markets, and macroeconomic indicators: Evidence from the US and EU," Energy Economics, Elsevier, vol. 132(C).

    Corrections

    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:eee:energy:v:205:y:2020:i:c:s0360544220311129. 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: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/energy .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.