Journal
ENERGY JOURNAL
Volume 43, Issue 4, Pages 179-198Publisher
INT ASSOC ENERGY ECONOMICS
DOI: 10.5547/01956574.43.4.lagu
Keywords
Gas markets; Oil market; Wavelet Power Spectrum; Wavelet Coherency; Wavelet Phase-Difference
Categories
Funding
- National Funds of the FCT-Portuguese Foundation for Science and Technology [UIDB/03182/2020]
Ask authors/readers for more resources
Research shows that while European and Japanese gas markets are significantly synchronized, the synchronization is lower compared to oil markets. Fluctuations in the North American gas market are independent of other markets. Filtering out the effect of oil price variations, the existing synchronization between gas markets almost disappears.
While we can say that there is a global market for crude oil, we cannot say the same for natural gas. There is a strand of literature that argues that, in the last decades, gas markets have become less regional and more global. We use wavelets to test this hypothesis and conclude otherwise: although the European and Japanese gas markets are significantly synchronized, they are much less than the oil markets, which we take as the benchmark. We also show that the North American gas market fluctuations are independent of the other gas markets. Finally, we show that the existing synchronization between gas markets almost vanishes once one filters out the effect of oil price variations, suggesting that it is the global oil market that connects the regional gas markets.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available