The relationship between regional natural gas markets and crude oil markets from a multi-scale nonlinear Granger causality perspective |
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| Affiliation: | 1. School of Finance, Zhongnan University of Economics and Law, Wuhan 430073, China;2. Center for Energy and Environmental Policy Research, Institutes of Science and Development, Chinese Academy of Sciences, Beijing 100190, China;3. Institute of Management Science & Engineering, Nanjing University of Information Science & Technology, Nanjing 210044, China;4. School of Economics & Management, Beihang University, Beijing 100191, China;1. School of Economics and Management, Beijing University of Chemical Technology, Beijing 100029, China;2. NCMIS, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China;1. Business School, Shandong Normal University, Jinan, Shandong, 250014, China;2. Center for Energy and Environmental Policy Research, Institutes of Science and Development, Chinese Academy of Sciences, Beijing 100190, China;3. China Academy of Transportation Sciences, Beijing 100029, China;4. School of Finance, Zhongnan University of Economics and Law, Wuhan 430073, China |
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| Abstract: | This study first decomposes the daily returns of regional gas and crude oil at different time scales, using the ensemble empirical mode decomposition (EEMD) method. It then investigates the causality relationship between each pair of components at the different time scales, by employing the linear and nonlinear Granger causality tests. For the original returns series, this study finds that unidirectional linear Granger causality exists from crude oil markets to North American and European gas markets. However, for nonlinear characteristics, the crude oil and regional gas markets exhibit bidirectional nonlinear Granger causality. On the medium-term time scale, a bidirectional nonlinear spillover effect is found between the markets. The long-term trends for the markets suggest a significant linear relationship; however, no nonlinear spillover effect is found between the crude oil and regional gas markets. |
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