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

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

application of the translog model of energy substitution to developing countries the case of korea abstract while studies exist on the applications of the translog energy model in developed countries little is known about its application in developing countries to this end this paper investigates the long run sensitivities of energy demand to price changes and the degree of interfactor and interfuel substitution in the korean industrial sector we also uniquely disaggregate the industrial sector into nine manufacturing and three non manufacturing subsectors based on time series data obtained from the korea institute of energy and resources an energy demand model has been specified and estimated according to the translog approach the conclusions provide future directions for energy demand management policies in korea

energy gdp relationship and capital intensity in ldcs abstract this study provides an updated estimate of the gdp elasticity of energy consumption for ldcs it uses a production function approach in determining this elasticity energy consumption is explained in terms of economic activity capital intensity and structure of economy the elasticity is found to be less than unitary this suggests that the earlier estimates for ldcs were biased

the non linear impact of oil price on the oil demand a panel smooth transition regression model was adopted to analyse the non linear impact of oil prices on oil demand data for 42 countries was obtained from the international energy agency for the

modeling and forecasting natural gas demand in bangladesh natural gas is the major indigenous source of energy in bangladesh and accounts for almost one half of all primary energy used in the country per capita and total energy use in bangladesh is still very small and it is important to understand how energy and natural gas demand will evolve in the future we develop a dynamic econometric model to understand the natural gas demand in bangladesh both in the national level and also for a few sub sectors our demand model shows large long run income elasticity around 1 5 for aggregate demand for natural gas forecasts into the future also show a larger demand in the future than predicted by various national and multilateral organizations even then it is possible that our forecasts could still be at the lower end of the future energy demand price response was statistically not different from zero indicating that prices are possibly too low and that there is a large suppressed demand for natural gas in the country

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

the integration of major fuel source markets in china evidence from panel cointegration tests abstract the paper tests for energy price co movement in china over the new regime as part of a strategy to test for the existence of a national energy market panel cointegration test statistics suggest that not all energy commodities are spatially homogenous in prices and the processes of energy price cointegration are different over time and over groups of fuels the statistics demonstrate china s gradual spatially partial and idiosyncratic energy reform process coal and electricity price series have co moved since 2003 while the national panel cointegration test statistics suggest that gasoline and diesel price series have co moved since 1997 regional panel tests also show that there are apparently differences in the emergence of energy price co movement this suggests that regional energy markets have emerged in china one of the important lessons of the research is that an energy market has to some extent already emerged in china and as a consequence energy prices are much less distorted than previously if correct this fact is of major global significance both in terms of future environmental effects and future trade and investment negotiations as china is seen internationally as a market driven economy

estimating energy and oil demand functions a study of thirteen developing countries abstract in this paper we attempt to identify some of the factors that have determined the level and pattern of energy demand in developing countries during the 1970s and early 1980s aggregate oil and energy demanding functions are constructed for a selection of oil importing countries and oil exporting countries the results show a strong link between income and aggregate energy demand conversely the price elasticity of energy demand is low both in the short run and the long run oil demand behaviour is more complex oil products can be rationed or domestic energy production can affect oil demand nonetheless the income elasticity remains close to one in most countries and is well above one for some

the relation between energy and non energy inputs in india s manufacturing industries the purpose of this paper is to examine the substitution possibilities among energy inputs and other non energy factors of production in response to price changes we relate this study to india s manufacturing industries this is of special interest since in the recent years indian industries have been gradually moving towards a high energy intensive structure of production in 1970 71 the mining and the manufacturing sector accounted for 52 9 per cent of the total commercial energy consumed in india in coal equivalent terms 8 p 1301 in this study we compute cross and own price elasticities of demand for all inputs a knowledge of the substitution possibilities is of paramount importance in economic planning consider for instance three situations first the effect of rising energy prices will tend to raise the demand for capital if capital and energy are substitute inputs second if energy and capital are complements the higher price for energy will tend to reduce the demand for both new capital equipment and energy thus the availability of cheap and ample supply of energy is significant in determining capital intensity and the future rates of capital formation in the literature on economic development this aspect of the choice of techniques has been by and large neglected third if there are limited substitution possibilities between energy and other inputs the adjustment by industry to higher prices of energy may be quite difficult and costs of production may rise precipitously necessitating a drastic change away from energy based production techniques in section ii of this paper we discuss the technique of analysis and describe the sources of data section iii presents the results and section iv is confined to the concluding remarks

household energy demand in kenya an application of the linear approximate almost ideal demand system la aids abstract this paper estimates price and fuel expenditure elasticities of demand by applying the linear approximate almost ideal demand system la aids to 3665 households sampled across kenya in 2009 the results indicate that motor spirit premium msp automotive gas oil ago and lubricants are price elastic while fuel wood kerosene charcoal liquefied petroleum gas lpg and electricity are price inelastic kerosene is income elastic while fuel wood charcoal lpg electricity msp and ago are income inelastic the results also reveal fuel stack behaviour that is multiple fuel use among the households main policy implications of the results include increasing the penetration of alternative fuels as well as provision of more fiscal incentives to increase usage of cleaner fuels this not withstanding however the household income should be increased beyond a certain point for the household to completely shift and use a new fuel

the energy gdp relationship in developing countries empirical evidence and stability tests abstract the elasticity of energy consumption with respect to gdp is an important element in projecting energy needs in economic development this study uses cross section and pooled cross section time series data to find that the elasticity of energy consumption with respect to gdp in developing countries is in the neighbourhood of 1 35 and significantly above one over the period covered 1970 to 1976 the relationships appear to have remained stable there are significant differences between areas of the world but the differences in the elasticities between different continents are not large

asymmetric price adjustments in us gasoline markets impacts of spatial dependence on the rockets and feathers hypothesis gasoline retail prices show sometimes wild asymmetric fluctuations over time we explore the impact of spatial dependence on gasoline retail price formation by using for the first time an asymmetr

the impact of energy prices on the volatility of ethanol prices and the role of gasoline emissions abstract the contribution of renewable energy resources is vital for a country s economic growth by providing high efficiency in energy as well as an effective tool for the confrontation of climate change in particular concerning the eu an increase in the consumption of renewable energy resources as a proportion of the total energy consumption by its member states was set as an objective until 2020 ethanol has been widely used as a substitute to conventional energy like gasoline and oil the present paper surveys the role of alternative energy prices and gas emissions in the formation of the ethanol prices the results of the empirical survey confirmed the existence of a sole relationship among the variables employed according to the results obtained an increase in the volume of emissions or in gasoline prices results in an increase in ethanol prices while the opposite is confirmed in the case of crude oil he elasticity of ethanol prices to the increase of the emissions is another result worth mentioning indicative of the significant role of the emissions in the formation of ethanol prices

on the link between forward energy prices a nonlinear panel cointegration approach abstract this paper investigates the relationship between forward prices of oil gas coal and electricity using a nonlinear panel cointegration framework to this end we consider a panel of 35 maturities and control for the economic and financial environment using equity futures prices estimating the cointegrating relationship we find that oil gas and coal forward prices are positively linked while the negative link between oil and electricity prices is consistent with a substitution effect between the two energy sources on the long run estimating panel smooth transition regression pstr models we show that the forward oil price adjustment process toward its equilibrium value is nonlinear and asymmetric putting forward the key role played by self sustaining dynamics and speculation phenomena

estimates of energy and non energy elasticities in selected asian manufacturing sectors policy implications abstract this paper presents the results of a study of the demand elasticities for energy and non energy inputs in the food processing and textile industries in bangladesh the philippines and thailand estimates of substitution elasticities in production were derived by fitting data to a translog cost function for the period 1970 1980 for bangladesh 1970 1978 for the philippines and 1974 1977 for thailand the results varied according to the industries studied and across countries they were compared with those of several developing and industrialized countries and substitutability among inputs was found to be greater in the manufacturing sector of the developing countries studies than in those of industrialized countries the generally high elasticities between labour and energy have implications for relative input pricing and use in developing countries

underlying energy demand trends in south korean and indonesian aggregate whole economy and residential sectors abstract this paper used annual time series data over the period 1973 2008 to estimate energy demand functions for south korea and indonesian aggregated whole economy and residential sectors furthermore the underlying energy demand trend uedt which may be non linear and reflects not only technical progress which usually produces greater energy efficiency but also other factors such as changes in consumer tastes and the economic structure that may be working in the opposite direction is also examined in the paper in estimating the price and income elasticities the study applies harvey s structural time series approach where a stochastic trend is used as a proxy for uedt empirical evidence from this study reveals that the estimated long run income and price elasticities range from 0 58 to 1 15 and from 0 09 to 066 respectively furthermore the stochastic form for the uedt is preferred for both countries and sectors suggesting a wide variation in the exogenous effects of energy saving technical progress in addition to other pertinent exogenous factors such as economic structure consumer preferences and socio economic influences

the economic impact of subsidy phase out in oil exporting developing countries a case study of algeria iran and nigeria abstract one of the crucial issues of energy markets in oil exporting developing countries is the high level of subsidies on petroleum products and the low efficiency in energy use the purpose of this paper is to investigate the impacts of a subsidy phase out policy on the energy sector and oil revenues in three countries algeria iran and nigeria by using a standard econometric approach we find that the effects of different deregulation policies are substantial we also analyse the impact of a policy based on autonomous energy efficiency improvement finally a combination of both policies is elaborated and quantified our results show that a policy geared at more rational use of energy would permit these countries to save enough oil to meet future increases in demand while maintaining stable production capacity furthermore such an energy policy could result in additional oil revenues which would enhance their economic development

oil price dynamics and speculation a multivariate financial approach abstract this paper assesses empirically whether speculation affects oil price dynamics the growing presence of financial operators in the oil markets has led to the diffusion of trading techniques based on extrapolative expectations strategies of this kind foster feedback trading that may cause considerable departures of prices from their fundamental values we investigate this hypothesis using a modified capm following shiller 1984 and sentana and wadhwani 1992 first a univariate garch 1 1 m is estimated assuming the risk premium to be a function of the conditional oil price volatility the single factor model however is outperformed by the multifactor icapm merton 1973 which takes into account a larger investment opportunity set analysis is then carried out using a trivariate ccc garch m model with complex nonlinear conditional mean equations where oil price dynamics are associated with both stock market and exchange rate behavior we find strong evidence that oil price shifts are negatively related to stock price and exchange rate changes and that a complex web of time varying first and second order conditional moment interactions affects both the capm and feedback trading components of the model despite the difficulties we identify a significant role played by speculation in the oil market which is consistent with the observed large daily upward and downward shifts in prices a clear evidence that it is not a fundamental driven market thus from a policy point of view given the impact of volatile oil prices on global inflation and growth actions that monitor speculative activities on commodity markets more effectively are to be welcomed

co integration of ice gas oil and crude oil futures abstract in this paper the relationship between gas oil and brent crude oil futures prices is investigated the analysis is based on daily price series for five different contract lengths traded on ice futures europe the price series and their first differences are tested for stationarity linear relationships between the pair wise gas oil and crude oil contracts are then tested for co integration a co integrated relationship is found for the 1 and 2 month contracts covering data from 1994 to 2009 and error correction models are established to estimate the relationships no co integrated relationships are found for the 3 6 and 12 month contracts covering the period 2002 2009 nor for the 1 and 2 month contracts for this period the futures prices for this period are collected from a volatile market including hurricane katrina the economic boom and the following financial crises which might explain these results thus in such volatile periods the spread between gas oil and crude oil is likely to deviate and it might take several years until it reverts to its equilibrium value for energy traders and hedgers this will imply that exposures to the crack spread should be treated with great care in such market environments

what would nelson and plosser find had they used panel unit root tests in this study we systemically apply nine recent panel unit root tests to the same fourteen macroeconomic and financial series as those considered in the seminal paper by nelson and plosser 1982 the data cover oecd countries from 1950 to 2003 our results clearly point out the difficulty that applied econometricians would face when they want to get a simple and clear cut diagnosis with panel unit root tests we confirm the fact that panel methods must be very carefully used for testing unit roots in macroeconomic or financial panels more precisely we find mitigated results under the cross sectional independence assumption since the unit root hypothesis is rejected for many macroeconomic variables when international cross correlations are taken into account conclusions depend on the specification of these cross sectional dependencies two groups of tests can be distinguished the first group tests are based on a dynamic factor structure or an error component model in this case the non stationarity of common factors international business cycles or growth trends is not rejected but the results are less clear with respect to idiosyncratic components the second group tests are based on more general specifications their results are globally more favourable to the unit root assumption