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On dynamic linkages of the state natural gas markets in the USA: evidence from an empirical spatio-temporal network quantile analysis

On dynamic linkages of the state natural gas markets in the USA: evidence from an empirical spatio-temporal network quantile analysis
On dynamic linkages of the state natural gas markets in the USA: evidence from an empirical spatio-temporal network quantile analysis
We empirically investigate the dynamic linkages of the state-level natural gas markets in the USA. By introducing a novel spatio-temporal network quantile econometric model, we can estimate the dynamic cross-state dependency or market integration of the state-level natural gas markets and the dependence of the state natural gas markets on the national crude oil market at different quantile levels. We find that significant local dynamic neighbouring market integrations exist in the natural gas markets not only in the eastern and central states as evidenced in the literature but also in some western and southwest states. Our results also show that there are significant linkages of the state-level natural gas markets to the national crude oil market through the lagged price shocks and the long-run price equilibrium with the national gas markets under varying price shock propagations. The results can help local government and energy users to mitigate the negative impacts from the expected or unexpected fluctuations in the oil and the neighbouring natural gas markets, which will enact appropriate state-level price discovery and energy policy and investment decision makings.
0140-9883
234-252
Ren, Xiaohang
970abdf4-ff20-4244-9952-f9ee910736ee
Lu, Zudi
4aa7d988-ac2b-4150-a586-ca92b8adda95
Cheng, Cheng
cc96d80a-3209-420a-a182-58fbfabf8cfd
Shi, Yukun
0d34b0c0-a807-41ad-8060-3595fd5e0783
Shen, Jian
7d3b8471-60c8-4398-879d-7733b5083fae
Ren, Xiaohang
970abdf4-ff20-4244-9952-f9ee910736ee
Lu, Zudi
4aa7d988-ac2b-4150-a586-ca92b8adda95
Cheng, Cheng
cc96d80a-3209-420a-a182-58fbfabf8cfd
Shi, Yukun
0d34b0c0-a807-41ad-8060-3595fd5e0783
Shen, Jian
7d3b8471-60c8-4398-879d-7733b5083fae

Ren, Xiaohang, Lu, Zudi, Cheng, Cheng, Shi, Yukun and Shen, Jian (2019) On dynamic linkages of the state natural gas markets in the USA: evidence from an empirical spatio-temporal network quantile analysis. Energy Economics, 80, 234-252. (doi:10.1016/j.eneco.2019.01.001).

Record type: Article

Abstract

We empirically investigate the dynamic linkages of the state-level natural gas markets in the USA. By introducing a novel spatio-temporal network quantile econometric model, we can estimate the dynamic cross-state dependency or market integration of the state-level natural gas markets and the dependence of the state natural gas markets on the national crude oil market at different quantile levels. We find that significant local dynamic neighbouring market integrations exist in the natural gas markets not only in the eastern and central states as evidenced in the literature but also in some western and southwest states. Our results also show that there are significant linkages of the state-level natural gas markets to the national crude oil market through the lagged price shocks and the long-run price equilibrium with the national gas markets under varying price shock propagations. The results can help local government and energy users to mitigate the negative impacts from the expected or unexpected fluctuations in the oil and the neighbouring natural gas markets, which will enact appropriate state-level price discovery and energy policy and investment decision makings.

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On dynamic linkages of the state natural gas markets in the USA: Evidence from an empirical spatio-temporal network quantile analysis - Accepted Manuscript
Restricted to Repository staff only until 9 July 2020.
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More information

Accepted/In Press date: 1 January 2019
e-pub ahead of print date: 10 January 2019
Published date: May 2019

Identifiers

Local EPrints ID: 427948
URI: http://eprints.soton.ac.uk/id/eprint/427948
ISSN: 0140-9883
PURE UUID: b771b793-e4a4-4eb3-84df-31d00ea4c4c3
ORCID for Zudi Lu: ORCID iD orcid.org/0000-0003-0893-832X

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Date deposited: 05 Feb 2019 17:30
Last modified: 30 Jan 2020 01:39

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Contributors

Author: Xiaohang Ren
Author: Zudi Lu ORCID iD
Author: Cheng Cheng
Author: Yukun Shi
Author: Jian Shen

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