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How does the U.S. natural gas market react to demand and supply shocks in the crude oil market? |
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| Affiliation: | 1. Department of Management and Engineering, Linköping University, 581 83 Linköping, Sweden;2. Newcastle Business School, The University of Newcastle, Australia;3. Montpellier Business School, Montpellier, France;4. Shaheed Zulfiqar Ali Bhutto Institute of Science and Technology (SZABIST), Pakistan |
| Abstract: | 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. |
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