Journal
ENERGY ECONOMICS
Volume 63, Issue -, Pages 66-74Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.eneco.2017.01.007
Keywords
Oil price; Oil price shocks; Structural VAR
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In this paper we use monthly data (over the period from January 1976 to December 2012) and a structural VAR model to disentangle demand and supply shocks in the global crude oil market and investigate their effects on the real price of natural gas in the United States. We identify the model by assuming that innovations to the real price of crude oil are predetermined with respect to the natural gas market and show that close to 45% of the variation in the real price of natural gas can be attributed to structural supply and demand shocks in the global crude oil market. (C) 2017 Elsevier B.V. All rights reserved.
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