A cointegrating analysis of the oil and gas relationship: evidence from the U.S.
(EN)
Avramidis, Fotios
(EN)
School of Science and Technology, MSc in Energy Management
(EN)
Panagiotidis, Theodore
(EN)
The objective of this dissertation
was
to investigate the relationship between
natural gas price
s delivered at Henry Hub and West Texas Intermediate
(WTI)
crude oil prices. The presence of a long run cointegrating relationship
was
revealed
.
Furthermore, a
vector error correction model was estimated to
examine the short run relationship, which
is
influenced by exogenous factors
.
The findings suggest that the
WTI crude
oil prices are weakly exogenous
.
In
addition, impulse response functions
and variance decompositions were
constructed to provide us with the dynamic interaction between the Henry Hub
natural gas and WTI crude oil prices
. The
results that were obtained indicate a
positive
response of natural gas to
a shock in crude oil
and
point out
the
importance of crud
e oil in explaining natural gas
.
(EN)
*Η εύρυθμη και αδιάλειπτη λειτουργία των διαδικτυακών διευθύνσεων των συλλογών (ψηφιακό αρχείο, καρτέλα τεκμηρίου στο αποθετήριο) είναι αποκλειστική ευθύνη των αντίστοιχων Φορέων περιεχομένου.