Information transmission and market interactions across the Atlantic — an empirical study on the natural gas market

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.     

Price interactions and discovery among natural gas spot markets in North America

Recent advances in modeling causal flows with time series analysis are used to study relationships among eight North American natural gas spot market prices. Results indicate that the Canadian and US natural gas market is a single highly integrated market. Further results indicate that price discovery tends to reflect both regions of excess demand and supply. Across North America, Malin Hub in Oregon, Chicago Hub, Illinois, Waha, Texas, and Henry Hub, Louisiana region, are the most important markets for price discovery. Opal Hub in Wyoming is an information sink in contemporaneous time, receiving price information but passing on no price information. AECO Hub in Alberta, Canada, receives price signals from several markets and passes on information to Opal and the Oklahoma region.     

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.     

Price discovery in energy markets

In this study, we empirically analyze the price discovery process in the futures and spot markets for crude oil, heating oil and natural gas using daily closing prices. We use two different information share measures that are based on the methods proposed by Gonzalo and Granger (1995) and Lien and Shrestha (2014). Both measures indicate that almost all the price discovery takes place in the futures markets for the heating oil and natural gas. However, for the crude oil, the price discovery takes place both in the futures and spot markets. As a whole, our study indicates that futures markets play an important role in the price discovery process.     

Natural gas contracts in an emerging competitive market

The price and duration of natural gas contracts are analysed to determine that electric and gas utilities in the USA can obtain long-run reliable supplies of natural gas at prevailing market prices. Open access to gas transmission lines has created a market with a large number of buyers and sellers that provides reliable gas supplies. The transaction cost literature on contracts suggests that spot purchases and short-term contracts have become more efficient than the long-term fixed price contracts that typifield the gas industry before the 1980s. An efficient supply of gas requires increasing contracting options and reducing regulatory approval of contracts. For instance, gas marketers, with access to local distribution of pipelines, could offer customers a menu of contract choices for gas and energy services. Alternatively, distribution companies could offer their customers a diversity of contracts. Some regulatory inefficiencies are avoided by automatically setting the allowable cost of gas to current market prices.     

中国天然气现货市场与期货市场关系研究

叙述了中国天然气现货市场形成情况以及目前的发展现状,分析了天然气现货市场与期货市场关系,简要探讨如何在已有的天然气现货市场的基础上建立天然气期货市场。     

广东构建天然气交易市场的建议

目的  广东省是天然气消费大省,但是天然气进口依存度高、缺乏定价话语权,天然气利用价格长期处于高位,亟需建立广东天然气交易市场,形成有国际影响力的基准定价枢纽,以保障天然气供应安全、降低天然气利用成本。 方法  研究欧洲和美国天然气市场化改革的过程,总结其经验要点,得出对广东天然气市场的启示;分析广东天然气市场结构、基础设施和市场化改革的现状;构建适合广东实际情况的天然气市场框架、提出推动天然气市场建设的重点任务。 结果  研究表明：广东省天然气需求旺盛、供应多元、基础设施完备、市场化基础良好、金融市场完善,具备建设区域虚拟交易枢纽的基础条件,可参考英国NBP和荷兰TTF模式,构建天然气交易枢纽和交易所协同发展的天然气交易市场体系。天然气交易枢纽方面重点推进天然气运输服务和销售业务分离、建立干线管网统一调度机制、建立管容分配和托运商制度、建立基于热值的计量制度、搭建基础设施信息公开和管容交易系统等任务。天然气交易所方面重点制定市场交易和运营规则、搭建交易信息系统、推动天然气期现对接和期货品种等。 结论  所提方案符合广东实际、具备可操作性,可有效指导广东天然气交易市场建设。     

世界天然气格局的变化和中国的机遇

近年来世界天然气产、销和国际贸易格局发生了重大变化。在经济衰退的影响下,2009年世界天然气年产量和消费量出现2.41%和2.34%的下降;但国际贸易量却持续增长,2007～2009年年均增长率6.28%,其中LNG贸易有更快的发展,其灵活的销售策略和降低现货价在许多地区挤占了管输出口的市场份额。在经济衰退的恢复期和/或天然气供应充足或过剩时期气与煤的比价较为接近,这为气代煤创造了条件。新兴经济体,特别是中国、印度及周围的东亚、南亚地区占世界天然气消费量的份额日趋加大。1999～2009年的10年间,中国天然气产量、消费量年均增长率分别为12.95%和13.91%,印度分别为4.59%和7.53%。金融危机促进了世界经济中心向东亚转移,天然气发展更趋均衡、多中心化的进程将更快。亚太地区,特别是中国、印度的天然气生产、消费和国际贸易在今后也将获得更快的发展。页岩气产量的持续快速增长不仅影响着近年来的天然气国际贸易,亦将对世界天然气格局产生更深远的影响。这些为中国天然气大发展带来了新机遇。按照框架性预测的两个方案,预计2015年中国天然气消费量将分别约为2400×108m3和2500×108m3,需国内供应皆为1500×108m3,进口分别为900×108m3和1000×108m3。2015年国内常规气层气产量要达到1300×108m3或1350×108m3,两种情况下所对应的2010～2015年年均增长率分别为9.81%和9.12%。除管输进口以外,2015年需要有600×108～800×108m3的LNG进口。从国内对策来讲,除了加强勘探开发,特别要关注天然气上中下游的协调发展和LNG系统工程的提前部署。关于进口,应重视天然气进口的广义多元化,在进口采买中将多种长期合同、意向性协议和短期现货交易灵活结合起来;加强国际合作;建设完整的配套体系。     

日本地震对世界和我国液化天然气产业的影响

2011年3月,日本东北部太平洋海域发生大地震和海啸,导致日本大批发电机组受损,引发福岛核泄漏事故,对世界和我国液化天然气(LNG)产业的发展产生了深远的影响。短期来看,多家日本电力公司大量采购LNG弥补电力缺口,短期和现货LNG市场趋紧,价格上涨;长期来看,福岛核泄漏事故对世界各国的核电规划与发展造成影响,世界LNG潜在需求增加,长期LNG资源的价格博弈愈加激烈。LNG作为我国天然气供应的重要组成部分,对调整我国能源消费结构、实现我国碳减排目标、保障我国沿海地区天然气安全稳定供应意义重大。当前世界LNG市场形势复杂多变,建议继续密切跟踪国内外形势变化,及时调整资源合作与开发策略,实现我国液化天然气产业的可持续发展。     

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.     

Distributional predictability between commodity spot and futures: Evidence from nonparametric causality-in-quantiles tests

Unbiasedness and informational efficiency of futures markets under different market conditions is a claim that still remains unsettled in the theory of non-arbitrage and asset pricing and in empirics as well. This study investigates this claim using a novel causality-in-quantile model of Balcilar et al. (2016) for two energy commodities, crude oil and natural gas, and two precious metals, gold and silver. The model estimates causalities-in-mean and -variance between spot and futures market in a time varying context conditioning on the states of the markets represented by the quantiles of the conditional distribution of the dependent variable. The causality in return is asymmetric and unidirectional from futures to spot market for all commodities. That means the predictability of the futures market, due to its informational efficiency, is strong in the normal market and declines when the spot market enters into extreme bearish and bullish conditions. The causality-in-variance is bi-directional in the normal to bull markets except for natural gas where it is unidirectional from futures to spot only. It is a confirmation of the risk management and price discovery role of futures market. Lack of causality in the bear market entails some kind of disconnectedness between the spot and futures markets in a bad market where intervention is called for from the exchange and regulators to restore stability in the spot and futures market dynamics. Although economic uncertainty is found to have no impact on the causality-in-mean except gold; however, the causality-in -variance is influenced in the case of gold and crude. This is a kind of reaffirmation of the fact that under economic uncertainty, futures contracts are used for hedging under different market conditions. However, the causality between commodity spot and futures are resilient to exchange rate.     

浙江省天然气利用现状与前景展望

自2004年引进西气东输天然气以来,浙江省天然气市场快速发展。本文介绍了浙江省天然气利用的现状,从供应和价格两个方面分析了浙江省天然气利用的前景及将面对的诸如交叉补贴、价格承受力、气电上网等问题,最后提出若干建议。     

A multi-factor model with time-varying and seasonal risk premiums for the natural gas market

In this paper, we develop a quantitative model of the US natural gas market that explores its multi-factor structure and its time-varying and seasonal risk premiums. With weekly spot and futures prices we show that three factors are preferred to describe the futures term structure, and the time-varying risk premiums are also significant. Moreover, we found that the market implies a seasonal risk premium with two peaks and troughs in one year, which is important to correctly price the futures by maturity month. Finally, we link this seasonal risk premium to the uncertainty of the US natural gas demand and find a positive relationship between them. These results reveal the complex aspect of the market, and may have useful applications for other commodity sectors.     

What drives volatility in natural gas prices?

We examine the primary drivers of U.S. natural gas price volatility. To do so, we apply a structural heterogeneous autoregressive VAR (SHVAR) model, accommodating structural breaks in both the coefficient and volatility, to monthly time series data on natural gas supply, demand and price between January 1978 and July 2018. We detect several structural changes in coefficients and shock volatility in the natural gas market. Our findings indicate that the response of natural gas prices differs significantly depending on the regime and type of shock in the natural gas market. While demand shocks specific to the natural gas market are the primary drivers of natural gas price volatility, structural supply shocks also play a significant role in explaining movements in natural gas prices. Our results suggest that failure to consider structural breaks in the coefficient and volatility may result in biased estimates and distorted impulse responses of the impact of shocks on natural gas price volatility.     

On dynamic linkages of the state natural gas markets in the USA: Evidence from an empirical spatio-temporal network quantile analysis

We empirically investigate the dynamic linkages of the state-level natural gas markets in the USA. By introducing a novel spatio-temporal network quantile econometric model, we can estimate the dynamic cross-state dependency or market integration of the state-level natural gas markets and the dependence of the state natural gas markets on the national crude oil market at different quantile levels. We find that significant local dynamic neighbouring market integrations exist in the natural gas markets not only in the eastern and central states as evidenced in the literature but also in some western and southwest states. Our results also show that there are significant linkages of the state-level natural gas markets to the national crude oil market through the lagged price shocks and the long-run price equilibrium with the national gas markets under varying price shock propagations. The results can help local government and energy users to mitigate the negative impacts from the expected or unexpected fluctuations in the oil and the neighbouring natural gas markets, which will enact appropriate state-level price discovery and energy policy and investment decision makings.     

基于谱分析的国内外能源价格周期关系研究

为了更好地应对经济全球化背景下的能源价格问题,基于谱分析方法对国内外典型市场的石油、煤炭、电力、天然气四种主要能源价格的周期互动关系进行了初步研究与探讨,考虑到我国天然气与电力市场的发展现状,借鉴发展相对成熟的美国市场进行分析。结果表明,煤炭、电力、天然气三种能源市场价格均滞后于国际原油价格波动,其中煤炭价格波动略滞后于石油,而根据美国市场经验,天然气和电力价格波动周期均滞后于煤炭和石油市场价格。     

英美天然气产业监管及其借鉴

英美的天然气市场经历了曲折的监管过程,两国都实施了一系列措施推进其天然气市场的稳步发展,如促进井口价格管制的解除,完善对管道运输价格体系的监管,促进天然气市场的竞争等,最终形成了世界上最完善的天然气市场。我国的天然气市场正处在发展初期,本文旨在通过研究英美天然气市场的发展历程,剖析我国天然气市场发展过程中存在的问题,并据以提出相关的改革建议,包括:开放天然气勘探开发领域、积极建设天然气输气管道、引入第三方准入机制、改进管道费率确定方法、建立有效的监管机构和完善的法律体系等。     

浙江省天然气市场分析及建议

浙江省正在逐步引入天然气这一优质能源。本文介绍了浙江省天然气市场概况,分析了浙江省天然气市场发展中存在的资源供应、价格承受力、价格机制、市场垄断等问题,并提出了若干建议。     

How does the U.S. natural gas market react to demand and supply shocks in the crude oil market?

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.     

Asymmetric reactions of the US natural gas market and economic activity

This paper provides new empirical evidence on the asymmetric reactions of the US natural gas market and US economy to its market fundamental shocks. We find that results based on a smooth transition vector autoregressive (STVAR) model provides a plausible and robust explanation to the behavior of the US natural gas market, which asymmetrically reacts in bad times and good times. During times of recession, natural gas production shrinks in response to a positive oil price shock, while the corresponding response is found to be positive in times of expansion. The positive relationship between the price of natural gas and crude oil is found to be more prominent in expansions, especially in the long run. In addition, the results also reveal that US economic activity is much more sensitive to oil and natural gas price shocks occurring in bad times than in good times.