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Natural gas markets: how sensitive are they to crude oil price changes?
Author(s) -
Onour Ibrahim A.
Publication year - 2009
Publication title -
opec energy review
Language(s) - English
Resource type - Journals
eISSN - 1753-0237
pISSN - 1753-0229
DOI - 10.1111/j.1753-0237.2009.00162.x
Subject(s) - futures contract , natural gas , crude oil , economics , sensitivity (control systems) , oil price , oil and natural gas , econometrics , fossil fuel , petroleum engineering , microeconomics , financial economics , monetary economics , chemistry , geology , engineering , organic chemistry , electronic engineering
This paper investigates sensitivity of US natural gas price with crude oil price changes, using time‐varying coefficient models. Identification of the range of variation of the sensitivity of natural gas price to oil price change allows more accurate assessment of upper and minimum risk levels that can be utilised in pricing natural gas derivatives such as gas futures and option contracts, and gas storage facility contracts.