IDEAS home Printed from https://ideas.repec.org/a/eee/energy/v302y2024ics0360544224012908.html
   My bibliography  Save this article

LNG freight rate and LNG price, carbon price, geopolitical risk: A dynamic connectedness analysis

Author

Listed:
  • Chen, Yanhui
  • Zhou, Xiaoyu
  • Chen, Shun
  • Mi, Jackson Jinhong

Abstract

With the change in energy structure, the world's demand for natural gas is increasing, and the LNG shipping market is also gradually expanding. This paper studies the time-varying connectedness between LNG freight rates and natural gas prices, geopolitical risk, and carbon prices in time and frequency domain with TVP-VAR-DY spillover index and TVP-VAR-BK spillover index respectively. Both global market and regional markets are considered in this research. This research draws the following conclusions: firstly, in this system, the short-term connectedness is the largest, followed by the long-term connectedness. Secondly, multi-month freight rate is crucial in the system. Thirdly, the net spillover effect from geopolitical risk to freight rate only appears in the short term and it's very small. Just considering the one-way connectedness, the importer's geopolitical risk transmits most short-term shocks and the exporter's geopolitical risk transmits most medium-term shocks. Finally, after the carbon price rose in the fourth stage of EU ETS, it became the transmitter of shocks to LNG freight rates in the global market and Australia-Japan market. It also received less shocks from LNG freight rates in the U.S.-Europe market. Based on these findings, we provide guidance for interested agents in the end.

Suggested Citation

  • Chen, Yanhui & Zhou, Xiaoyu & Chen, Shun & Mi, Jackson Jinhong, 2024. "LNG freight rate and LNG price, carbon price, geopolitical risk: A dynamic connectedness analysis," Energy, Elsevier, vol. 302(C).
    • Handle: RePEc:eee:energy:v:302:y:2024:i:c:s0360544224012908
    DOI: 10.1016/j.energy.2024.131517
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0360544224012908
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.energy.2024.131517?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.

    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:302:y:2024:i:c:s0360544224012908. 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.

    We have no bibliographic references for this item. You can help adding them by using 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.