Forward curves, scarcity and price volatility in oil and natural gas markets

Volatility in Natural Gas and Oil Markets

I use daily futures price data to examine the behavior of natural gas and crude oil price volatility in the U.S. since 1990. I test whether there has been a significant trend in volatility, whether there was a short-term increase in volatility during the time of the Enron collapse, and whether natural gas and crude oil price volatilities are interrelated. I also measure the persistence of shock...

Investigating Cointegration and the Causal Relationship Between of Exchange Rate, Oil Price and Gas Price in Regional Markets

Short-term and long-term relationship between exchange rate, oil price and spot gas price of three regional gas markets was investigated using and estimating the Vector Autoregressive model. There is a significant and long-term relationship between variables.Short-term interactions of variables with Granger causality test One-year interaction of variables with intervals of one to twelve months ...

European Gas Oil Markets: Price Relationships, Hedging and Efficiency

1991 The contents of this paper are the author's sole responsibility. They do not necessarily represent the views of the Oxford Institute for Energy Studies or any of its Members. All rights reserved. No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, electronic, mechanical, photocopying, recording, or otherwise, without prio...

Price Convergence and Information Efficiency in German Natural Gas Markets

In 2007, Germany changed network access regulation in the natural gas sector and introduced a so-called entry–exit system. The spot market effects of the reregulation remain to be examined. We use cointegration analysis and a state space model with time-varying coefficients to study the development of natural gas spot prices in the two major trading hubs in Germany and the interlinked spot mark...

Price Volatility in Ethanol Markets