The role of underground storage in the dynamics of the US natural gas market: A threshold model analysis

被引：12

作者：

Rubaszek, Michal ^{[1
]}

Uddin, Gazi Salah ^{[2
]}

机构：

[1] SGH Warsaw Sch Econ, Coll Econ Anal, Warsaw, Poland

[2] Linkoping Univ, Dept Management & Engn, Linkoping, Sweden

来源：

ENERGY ECONOMICS | 2020年 / 87卷 / 87期

关键词：

Natural gas market; Structural VAR; Threshold models; Futures market; OIL PRICE SHOCKS; FUTURES PRICES; SUPPLY SHOCKS; REVOLUTION; DEMAND; SPOT; COINTEGRATION; INTEGRATION; VOLATILITY; IMPACT;

D O I：

10.1016/j.eneco.2020.104713

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Natural gas is an important source of energy in the global economy, hence understanding the drivers of its prices is of significant interest for the many economic agents. This paper investigates the role of inventories for the dynamics of the U.S. natural gas market. Our contribution is twofold. First, within the threshold structural VAR framework we demonstrate that in a low inventory regime spot prices are more responsive to economic fundamentals in comparison to situation in which the inventories are high. Second, we present evidence that the level of natural gas inventories have a significant effect on the relationship between spot and futures prices. (C) 2020 Elsevier B.V. All rights reserved.

引用

页数：9

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