Oil–gas price relationships on three continents: Disruptions and equilibria

IF 3.7 4区 经济学 Q1 BUSINESS, FINANCE Journal of Commodity Markets Pub Date : 2023-09-01 DOI:10.1016/j.jcomm.2023.100347
Christoph Halser , Florentina Paraschiv , Marianna Russo
{"title":"Oil–gas price relationships on three continents: Disruptions and equilibria","authors":"Christoph Halser ,&nbsp;Florentina Paraschiv ,&nbsp;Marianna Russo","doi":"10.1016/j.jcomm.2023.100347","DOIUrl":null,"url":null,"abstract":"<div><p>In this paper, we revisit traditional gas pricing formulas and show the ever-changing relationships between natural gas and oil prices in Europe, the United States, and Japan<span> between 2009 and 2021. The results suggest a stronger oil–gas link for all investigated markets after 2019, significantly impacted by fundamental supply and demand factors. However, the strength<span> of the equilibria link differs across markets due to different price formation processes under the impact of the COVID-19 pandemic and the Ukraine war. For Japanese LNG<span> prices, our results imply an enduring impact of oil-price indexation with a tight link to monthly crude prices. TTF and monthly oil prices enter a temporary equilibrium in times of high market volatility, whereby the long-term equilibrium dissipates. Despite the absence of oil indexation in the North American market, we find evidence of re-coupling of oil and gas prices given the demand shock of the COVID-19 pandemic. These findings are relevant to policy makers to assess market inefficiencies caused by the European gas crisis.</span></span></span></p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"31 ","pages":"Article 100347"},"PeriodicalIF":3.7000,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Commodity Markets","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2405851323000375","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0

Abstract

In this paper, we revisit traditional gas pricing formulas and show the ever-changing relationships between natural gas and oil prices in Europe, the United States, and Japan between 2009 and 2021. The results suggest a stronger oil–gas link for all investigated markets after 2019, significantly impacted by fundamental supply and demand factors. However, the strength of the equilibria link differs across markets due to different price formation processes under the impact of the COVID-19 pandemic and the Ukraine war. For Japanese LNG prices, our results imply an enduring impact of oil-price indexation with a tight link to monthly crude prices. TTF and monthly oil prices enter a temporary equilibrium in times of high market volatility, whereby the long-term equilibrium dissipates. Despite the absence of oil indexation in the North American market, we find evidence of re-coupling of oil and gas prices given the demand shock of the COVID-19 pandemic. These findings are relevant to policy makers to assess market inefficiencies caused by the European gas crisis.

查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
三大洲的油气价格关系:中断与平衡
在本文中,我们回顾了传统的天然气定价公式,并展示了2009年至2021年间欧洲、美国和日本天然气和石油价格之间不断变化的关系。结果表明,在2019年之后,受基本供需因素的显著影响,所有被调查市场的油气联系将更加紧密。然而,在新冠肺炎大流行和乌克兰战争的影响下,由于价格形成过程不同,各个市场的均衡联系强度有所不同。对于日本液化天然气价格,我们的研究结果意味着油价指数与月度原油价格密切相关的持久影响。TTF和月度油价在市场高度波动时进入临时均衡,因此长期均衡消散。尽管北美市场没有石油指数,但鉴于COVID-19大流行的需求冲击,我们发现了石油和天然气价格重新耦合的证据。这些发现对决策者评估欧洲天然气危机造成的市场效率低下具有重要意义。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 去求助
来源期刊
CiteScore
5.70
自引率
2.40%
发文量
53
期刊介绍: The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.
期刊最新文献
Carbon pricing and the commodity risk premium Have the causal effects between equities, oil prices, and monetary policy changed over time? Connectedness between green bonds, clean energy markets and carbon quota prices: Time and frequency dynamics Commodity market downturn: Systemic risk and spillovers during left tail events Forecasting crude oil returns with oil-related industry ESG indices
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1