the crucial relationship among energy commodity prices evidence from the spanish electricity market the main purpose of this article is twofold to analyze a the long term relation among the commodities prices and between spot electricity market price and commodity prices and b the short term dynamics among commodity prices and between electricity prices and commodity prices data between 2002 and 2005 from the spanish electricity market was used econometric methods were used in the analysis of the commodity spot price namely the vector autoregression model the vector error correction model and the granger causality test the co integration approach was used to analyze the long term relationship between the common stochastic trends of four fossil fuel prices one of the findings in the long term relation is that the prices of fuel and the prices of brent are intertwined though the prices of brent ten to move to reestablish the price equilibrium another finding is that the price of electricity is explained by the evolution of the natural gas series

time varying convergence in european electricity spot markets and their association with carbon and fuel prices abstract long run dynamics of electricity prices are expected to reflect fuel price developments since fuels generally account for a large share in the cost of generation as an integrated european market for electricity develops wholesale electricity prices should be converging as a result of market coupling and increased interconnectivity electricity mixes are also changing spurred by a drive to significantly increase the share of renewables consequently the electricity wholesale price dynamics are evolving and the fuel electricity price nexus that has been described in the literature is likely to reflect this evolution this study investigates associations between spot prices from the british french and nordpool markets with those in connected electricity markets and fuel input prices from december 2005 to october 2013 in order to assess the time varying dynamics of electricity spot price series localized autocorrelation functions are used electricity spot prices in the three markets are found to have stationary and non stationary periods when a trend in spot prices is observed it is likely to reflect the trend in fuel prices cointegration analysis is then used to assess co movement between electricity spot prices and fuel inputs to generation the results show that british electricity spot prices are associated with fuel prices and not with price developments in connected markets while the opposite is observed in the french and nordpool day ahead markets

the dynamic linkages between crude oil and natural gas markets abstract the time varying price spillovers between natural gas and crude oil markets for the period 1994 to 2014 are investigated contrary to earlier research we show that in a large part of our sample the natural gas price leads the price of crude oil with price spillover effects lasting up to two weeks this result is robust to a battery of tests including out of sample forecasting exercises however after 2006 we detect little price dependencies between these two energy commodities these findings arise due to a conjunction of both demand and supply side shocks arising from both natural and economic events including hurricane katrina the tohoku earthquake and the global financial crisis as well as infrastructure and technological improvements the increased use of new technologies such as hydraulic fracking for the extraction of gas and oil in particular affected supply in the latter part of the study we conclude that the long term relation present in the early part of the sample has decoupled such that price determination of these two energy sources is now independent

the relationship between spot and contract gas prices in europe abstract following deregulations in the european gas market spot trading of natural gas has been established in the uk belgium and the netherlands while long term contracts remain the dominant pricing process in continental europe in this paper we investigate the degree of market integration between the three spot markets the contract gas price in germany and the oil price the results indicate a highly integrated market and there is no evidence of an independent price determination process for natural gas

new labour energy policy and competitive markets by the end of new labour s first term four central objectives of energy policy had become established cheap energy the relief of fuel poverty a major reduction of carbon dioxide emissions and energy security through maintaining a wide diversity of primary fuel supplies all to be achieved through competition after surveying new labour energy policy documents the paper argues that new labour failed to appreciate i the extent to which under such a laissez faire policy regime these objectives were mutually inconsistent ii that the apparent successes of energy market liberalisation during the preceding conservative governments had little to do with competition and iii that the transaction costs of injecting increasing competition into both british and european energy systems are likely to exacerbate the growing threat to energy security the paper concludes with a brief examination of the implications of transaction cost economics for the organisational structure of the uk energy supply industry

oil and gas markets in the uk evidence from a cointegrating approach the paper examines the relationship between uk wholesale gas prices and the brent oil price over the period 1996 2003 in order to investigate whether oil and gas prices decoupled during this period as orthodox gas market liberalisation theory suggests tests for unit roots and cointegration are carried out and it is discovered that a long run equilibrium relationship between uk gas and oil prices exists moreover this relationship pre dates the opening of the uk mainland europe interconnector following a recursive methodology hansen h and johansen s 1999 some tests for parameter constancy in cointegrated var models econometrics journal 2 306 333 it was found that the cointegrating relationship is present throughout the sample period however the long run solutions seem to be more volatile evidence is provided that the short run relationship is linear and impulse response functions are used to examine the effects that a shock in oil would have on gas these findings do not support the assumption that gas prices and oil prices decouple

toward the integration of european natural gas markets a time varying approach abstract over the past fifteen years european gas markets have radically changed in order to build a single european gas market a new regulatory framework has been established through three european gas directives the purpose of this article is to investigate the impact of the reforms in the natural gas industry on consumer prices with a specific focus on gas prices for industrial use the strength of the relationship between the industrial gas prices of six western european countries is studied by testing the law of one price for the period 1991 2009 estimations were carried out using both cointegration analysis and time varying parameter models results highlight an emerging and on going process of convergence between the industrial gas prices in western europe since 2001 for the six eu member states the strength and the level of convergence differ widely between countries strong integration of gas markets in continental europe except for the belgian market has been established it appears that the convergence process between continental countries and the uk is not completed thus the integration of european gas markets remains an open issue and the question of how far integration will proceed will still be widely discussed in the coming years

testing for common features in north american energy markets abstract using recent advances in the field of applied econometrics we explore the strength of shared trends and shared cycles between north american natural gas and crude oil markets in doing so we use daily data from january 1991 to april 2001 on spot u s henry hub natural gas and wti crude oil prices the results show that there has been decoupling of the prices of these two sources of energy as a result of oil and gas deregulation in the united states we also investigate the interconnectedness of north american natural gas markets and find that north american natural gas prices are largely defined by the u s henry hub price trends

the dynamics pattern of price dispersion in retail fuel markets abstract this paper empirically investigates the dynamics of price dispersion in retail fuel markets as a response to the corresponding wholesale price changes for this purpose we take advantage of a daily dataset of prices fixed by gas stations in two spanish regions it is consistently found that retail price dispersion is temporarily enlarged as a consequence of wholesale price increases while it is reduced due to decreases the presence of asymmetries in the short run dynamics is also revealed the impact of positive changes in the wholesale price is in the first days of adjustment clearly greater the dynamics pattern could be explained at least in part by the faster response of prices in the stations associated with the two vertically integrated companies that have the largest market share i e repsol and cepsa

european market integration for gas volume flexibility and political risk this is a copy of an article originally published by elsevier in energy economics see http www sciencedirect com science journal 03014215 2002 elsevier science b v

what can be learned from the free destination option in the lng imbroglio we examine the profitability of flexible routing by lng cargoes for a single supplier taking into account uncertainty in the medium term dynamics of gas markets first we model the trajectory of natural gas prices in asia northern america and europe using a threshold vector autoregression representation tvar in which the system s dynamics switches back and forth between high and low regimes of oil price volatility we then use the generalized impulse response functions girf obtained from the estimated threshold model to analyze the effects of volatility shocks on the regional gas markets dynamics lastly the valuation of destination flexibility in lng supplies is conducted using a real option approach we generate a sample of possible future regional price trajectories using monte carlo simulations of our empirical model and determine for each trajectory the optimal shipping decisions and their profitability our results portend a substantial source of profit for the industry and reveal future movements of vessels we discuss the conditional impact of destination flexibility on the globalization of natural gas markets

convergence of european natural gas prices abstract over the period 2015 2050 the consumption of natural gas of european oecd countries is expected to grow more than the consumption of any other energy source although these countries are interconnected and in most cases share a common currency their wholesale national gas markets are highly heterogeneous we study the determinants of cross country convergence of natural gas prices for industrial consumers in fourteen european countries our empirical analysis is based on the notions of pairwise relative and convergence we show that there is evidence of pairwise price convergence and that some key characteristics of gas markets such as the existence of trading hubs and the degree of interconnection are positively associated with the existence of a convergence process this result carries over to the notion of convergence and is robust to a number of changes in the implementation of the statistical tests the analysis of relative convergence points to the existence of price growth convergence while price level convergence is not supported by the data lastly we assess the short run implications of price convergence focusing on the speed of reversion to equilibrium after a system wide shock hits the cointegrating relation

the economic viability of gas to liquids technology and the crude oil natural gas price relationship abstract this paper explores the viability of a gas to liquids gtl technology and examines how gtl penetration could shape the evolution of the crude oil natural gas price ratio much research has established the cointegrated relationship between crude oil and natural gas prices in the u s the persistently low u s natural gas prices in recent years seem to mark a shift in this relationship and have led some in industry to begin considering investments in gtl capacity in the us in order to look forward over decades when the underlying economic drivers may be outside of historical experience we use a computable general equilibrium model of the global economy to evaluate the economic viability of gtl and its impact on the evolution of the crude oil natural gas price ratio our results are negative for the potential role of gtl in order to produce any meaningful penetration of gtl we find it necessary to evaluate scenarios that seem extreme with any carbon cap gtl is not viable moreover even without a carbon cap of any kind extremely optimistic assumptions about i the cost and efficiency of gtl technology and about ii the available resource base of natural gas and the cost of extraction before the technology penetrates and it impacts the evolution of the crude oil natural gas price ratio

information transmission and market interactions across the atlantic an empirical study on the natural gas market abstract this paper studies the international information transmission and market interactions in the u s and u k natural gas markets three well documented approaches are used to measure the relative importance on the process of price discovery under a quadvariate system after adjusting the effects of nonsynchronous trading prices robust results indicate our system that includes spot and futures prices within the two countries are driven by one common factor information disseminates efficiently among the four markets concerned the u s futures market dominates as the center for price discovery the u k futures market comes as the second the spot markets in the u s and u k are less efficient than their corresponding futures market where the u k spot market contributes the least and almost zero to the price discovery process asymmetric volatility spillovers are found in three of the four markets volatility in the u s futures market increases with positive returns which illustrates the inverse leverage effect in most of the commodity market volatilities in the spot markets are negatively related to returns which is analogous to the traditional leverage effect prevailing in most of the equity stock markets

modeling global and local dependence in a pair of commodity forward curves with an application to the us natural gas and heating oil markets abstract the goal of this paper is to present a model for the joint evolution of correlated commodity forward curves each forward curve is directed by two state variables namely slope and level and the model is meant to capture both the local and global dependence structures between slopes and levels our framework can be interpreted as an extension of the concept of cointegration to forward curves the model is applied to a us database of heating oil and natural gas futures prices over the period february 2000 february 2009 we find the long run slope and level relationships between natural gas and heating oil markets analyze the lead and lag properties between the two energy commodities the volatilities and correlations between their daily co movements and evaluate the robustness of these observations to the turmoil experienced by energy markets since 2003

market integration among electricity markets and their major fuel source markets dynamic price information flows among u s electricity wholesale spot prices and the prices of the major electricity generation fuel sources natural gas uranium coal and crude oil are studied multivariate time series methods applied to weekly price data show that in contemporaneous time peak electricity prices move natural gas prices which in turn influence crude oil in the long run price is discovered in the fuel sources market except uranium as these prices are weakly exogenous in a reduced rank regression representation of these energy prices

inequality averse criteria for evaluating infinite utility streams the impossibility of weak pareto abstract this paper investigates ethical aggregation of infinite utility streams by representable social welfare relations we prove that the hammond equity postulate and other variations of it like the pigou dalton transfer principle are incompatible with positive responsiveness to welfare improvements by every generation the case of hammond equity for the future is investigated too

dependence and extreme dependence of crude oil and natural gas prices with applications to risk management abstract in this article we show how the copula garch approach can be appropriately used to investigate the conditional dependence structure between the crude oil and natural gas markets as well as to derive implications for portfolio risk management in extreme economic conditions using daily price data from january 1997 to october 2011 our in sample results show evidence of asymmetric dependence between the two markets the crude oil and gas markets tend to comove closely together during bullish periods but not at all during bearish periods moreover taking the extreme comovement into account leads to an improvement in the accuracy of the out of sample value at risk forecasts

macro determinants of volatility and volatility spillover in energy markets abstract we analyze the time varying volatility and spillover effects in crude oil heating oil and natural gas futures markets by incorporating changes in important macroeconomic variables and major political and weather related events into the conditional variance equations we allow asymmetric responses to random disturbances in each market as well as to good and bad economic news related to the overall economy results show the presence of asymmetric effects in both random disturbances and macroeconomic variables a bidirectional volatility spillover effect is found between natural gas and crude oil and between the natural gas and heating oil markets crude oil volatility is found to increase following major political financial and natural events seasonality and day of the week effects are found in the crude oil and heating oil markets

deliverability and regional pricing in u s natural gas markets during the 1980s and early 90s interstate natural gas markets in the united states made a transition away from the regulation that characterized the previous three decades with abundant supplies and plentiful pipeline capacity a new order emerged in which freer markets and arbitrage closely linked natural gas price movements throughout the country after the mid 1990s however u s natural gas markets tightened and some pipelines were pushed to capacity we look for the pricing effects of limited arbitrage through causality testing between prices at nodes on the u s natural gas transportation system and interchange prices at regional nodes on north american electricity grids our tests do reveal limited arbitrage which is indicative of bottlenecks in the u s natural gas pipeline system

another look on the relationships between oil prices and energy prices this paper employs the quantile autoregressive distributed lags qardl model developed recently by cho et al 2015 to investigate the pass through of oil prices to a set of energy prices this approach allows analyzing simultaneously short term connections and long run cointegrating relationships across a range of quantiles it also provides insights on the short run predictive power of oil prices in predicting energy prices while accounting for the cointegration between oil prices and each of the considered energy prices in low medium and high quantiles two key findings emerge from this paper first all considered energy prices are shown to be cointegrated with oil price across quantiles meaning that a stationaryequilibriumrelationship exists between single energy price and oil price second we find evidence that oil price is a significant predictor of individual petroleum products prices and natural gas in the short run this paper has important policy implications for forecasters energy policy makers and portfolio managers

have oil and gas prices got separated abstract this paper applies vector error correction models that show that oil and natural gas prices decoupled around 2009 before 2009 us and uk gas prices had a long term equilibrium with crude prices to which gas prices always reverted after exogenous shocks both us and uk gas prices adjusted to the crude oil price individually and departure from the equilibrium gas price on one continent resulted in a similar departure on the other after an exogenous shock the adjustment between us and uk gas prices took approximately 20 weeks on average and the convergence was mediated mainly by crude oil with a necessary condition that arbitrage across the atlantic was possible after 2009 however the uk gas price has remained integrated with oil price but the us gas price decoupled from crude oil price and the european gas price as the atlantic arbitrage has halted the oversupply from shale gas production has not been mitigated by north american export as there has been no liquefying and export capacity

aggregating infinite utility streams with intergenerational equity the impossibility of being paretian it has been known that in aggregating infinite utility streams there does not exist any social welfare function which satisfies the axioms of pareto intergenerational equity and continuity we show that the impossibility result persists even without imposing the continuity axiom and in frameworks allowing for more general domains of utilities than those used in the existing literature

paretian evaluation of infinite utility streams an egalitarian criterion this paper contributes to qualifying the basu mitra approach to the problem of intergenerational social choice by analyzing the impact of the structure of the feasible set of utilities on banerjee s 2006 impossibility theorem we prove that if the utilities that each generation can possess lie in nn cup 0 then an explicit expression for a paretian social welfare function that accounts for a strengthened form of hammond equity for the future can be given

testing causal relationships between wholesale electricity prices and primary energy prices we apply the lag augmented vector autoregression technique to test the granger causal relationships among wholesale electricity prices natural gas prices and crude oil prices in addition by adopting a cross correlation function approach we test not only the causality in mean but also the causality in variance between the variables the results of tests using both techniques show that gas prices granger cause electricity prices in mean we find no granger causality in variance among these variables

cointegration and unit roots this paper provides an updated survey of a burgeoning literature on testing estimation and model specification in the presence of integrated variables integrated variables are a specific class of non stationary variables which seem to characterise faithfully the properties of many macroeconomic time series the analysis of cointegration develops out of the existence of unit roots and offers a generic route to test the validity of the equilibrium predictions of economic theories special emphasis is put on the empirical researcher s point of view

impacts of the us dollar usd exchange rate on economic growth and the environment in the united states abstract this paper investigates the impact of the usd exchange rate on economic growth and the environment in the united states by using a structural vector autoregression svar model the analysis is based on quarterly country level data on the real trade weighted us dollar index petroleum consumption renewable energy consumption net imports of pollution intensive products real gdp and co2 emissions during the 1989 2015 the result shows that the usd exchange rate is positively related to petroleum consumption net imports of the united states in pollution intensive industries with major u s trading partners real gdp and co2 emissions moreover petroleum consumption increases real gdp and domestic co2 emission levels while net imports of pollution intensive products decrease real gdp and does not significantly affect co2 emissions

causality in quantiles and dynamic relations in energy markets de tails matter abstract in this article we investigate the dynamic relations between crude oil price returns and a set of energy price returns namely diesel gasoline heating and the natural gas this is performed by means of granger non causality tests for us closing spot prices over the period from january 1997 to december 2017 in previous studies this has been done by testing for the added predictive value of including lagged returns of one energy price in predicting the conditional expectation of another in this paper we instead focus on different ranges of the full conditional distribution and thus market states within the framework of a dynamic quantile regression model and identify the quantile ranges from which causality arises the results constitute a richer set of findings than what is possible by just considering a single moment of the conditional distribution which can be useful for implementing better substitution investment strategies and effective policy interventions we find several interesting uni directional dynamic relations between the employed energy price returns especially in the tail quantiles but also bi directional causal relations between energy price returns for which the classical granger non causality test suggests otherwise our results are robust to alternative measures of the price of oil and different data frequencies

exchange rate effect on carbon credit price via energy markets abstract this paper examines the impact of currency exchange rates on the carbon market we scrutinize this effect through the european union emission trading scheme eu ets which primarily uses two substitutable fossil energy inputs for the generation of electricity coal and natural gas the european coal market is directly driven by global coal markets that are denominated in usd whereas natural gas is mainly imported from russia and is denominated in euros the impulse response functions of a structural vector autoregression svar model demonstrate that a shock in the euro usd exchange rate can be transmitted through the channel of energy substitution between coal and natural gas and influence on the carbon credit market

the relationship between federal contract r d and company r d according to recent estimates federal budget outlays for research and development rd this component will rise 28 percent and absorb 70 percent of all federal r d spending in 1984 compared to under 50 percent in 1980 since work corresponding to about one half of the dollar value of the federal r d program is generally performed by private industrial firms under contract with federal agencies the rapid increase in federal r d outlays will presumably be reflected in a similar increase in the value of commitments by industrial firms to perform government r d one of the most important economic questions posed by the large prospective increase in resources allocated to federal contract r d concerns its consequences for the economy s rate of technical progress of productivity growth in the next section i argue that the ultimate impact on productivity depends on how company decisions to finance r d are affected by the availability of federal contract r d funds i then provide a brief review and critique of previous studies of the relationship between companyand federalfinanced r d performed in industry and present new estimates which differ from existing ones with respect to both methodology and implications these estimates are consistent with the hypothesis that increases in federal r d activity tend to be associated with significant reductions in companyfinanced r d a number of studies have attempted to determine the ceteris paribus effects of company and federal r d on the rate of productivity growth p by estimating variants of the equation

how policies affect international biofuel price linkages abstract we estimate the role of biofuel policies in determining which country is the price leader in world biofuel markets using a cointegration analysis and a vector error correction vec model weekly prices are analyzed for the eu us and brazilian ethanol and biodiesel markets in the 2002 2010 and 2005 2010 time periods respectively the us blender s tax credit and brazil s consumer tax exemption are found to play a role in determining the ethanol prices in other countries for biodiesel our results demonstrate that eu policies the consumer tax exemption and blending target tend to determine the world biodiesel price

international market integration for natural gas a cointegration analysis of prices in europe north america and japan this paper investigates the degree of integration of natural gas markets in europe north america and japan in the time period between the early 1990s and 2004 the relationship between international gas market prices and their relation to the oil price are explored through principal components analysis and johansen likelihood based cointegration procedure both of them show a high level of natural gas market integration within europe between the european and japanese markets as well as within the north american market at the same time the obtained results suggest that the european respectively japanese and the north american markets were not integrated

price and volatility dynamics between electricity and fuel costs some evidence for spain abstract the purpose of this study is to investigate the causal linkages between the spanish electricity brent crude oil and zeebrugge belgium natural gas 1 month ahead forward prices following lutkepohl et al 2004 we control for the presence of a structural change in the series and then we use the johansen cointegration test and a vector error correction model vecm to embrace the analysis additionally a multivariate generalized autoregressive conditional heteroskedastic garch model is applied to explore volatility interactions between the three markets involved in the study our findings reveal that brent crude oil and zeebrugge natural gas forward prices play a prominent role in the spanish electricity price formation process furthermore causation both in price and volatility runs from brent crude oil and natural gas forward markets to the spanish electricity forward market these results are of practical importance for both the wholesale and retail markets participants as well as the regulator through the established link between the forward contracts price and the spanish tariff of last resort paid by more than 23 million of customers

why are governmental r d and private r d complements it is well known that government r d and private r d have a complementary relationship however no previous study has provided an explanation for why that complementary relationship exists this paper argues that infratechnology is the critical link between governmental and private r d and that the observed complementarity is the result of technical complementarity at the production level between funding infratechnology and knowledge sharing a theoritical framework based on this argument is developed and examined empirically for supporting evidence evidence of technical complementary is found as well as evidence that governmental r d stimulates the sharing of knowledge

what drives natural gas prices in the united states a directed acyclic graph approach abstract this study investigates the impacts of driving factors for natural gas prices during the period from 1999 to 2017 a data driven approach namely the directed acyclic graph dag is first employed to disclose the contemporaneous relations among natural gas crude oil and various factors the main results indicate that there is a stable contemporaneous causal flow from crude oil to natural gas unlike most of the previous research we found a long term equilibrium relationship between crude oil and natural gas returns when additional factors were taken into account however the impact of oil price returns on natural gas price volatility has decreased after the 2008 global financial crisis finally storage and seasonality factors can never be ignored when analysing natural gas prices while the impact of speculative activity on natural gas volatility is relatively weak

the message in north american energy prices how similar is the price behavior of north american natural gas fuel oil and power prices using current state of the art econometric methodology we explore the degree of shared trends across north american energy markets across these markets there appear to be effective arbitraging mechanisms for the price of natural gas and fuel oil but not for the price of electricity

gas versus oil prices the impact of shale gas abstract what significance will developments in shale gas production have for european gas prices some commentators paint a gloomy picture of the future gas markets but most forecasts for the oil market are positive consequently a view appears to prevail that price trends will differ sharply between oil and gas markets this article looks at developments in us shale gas production and discusses their impact on the movement of european gas prices the relationship between oil and gas prices over time is also analysed

on the equity efficiency trade off in aggregating infinite utility streams abstract we compare two different approaches to aggregating infinite utility streams following some principles of equity and efficiency we find that the consequentialist equity axiom hammond equity for the future is more demanding than its procedural equity counterpart anonymity