کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
10134484 1645626 2018 33 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Understanding the US natural gas market: A Markov switching VAR approach
موضوعات مرتبط
مهندسی و علوم پایه مهندسی انرژی انرژی (عمومی)
پیش نمایش صفحه اول مقاله
Understanding the US natural gas market: A Markov switching VAR approach
چکیده انگلیسی
Over the past three decades, the US natural gas market has witnessed significant changes. Utilizing a standard Bayesian model comparison method, this paper formally determines four regimes existing in the market. It then employs a Markov switching vector autoregressive model to investigate the regime-dependent responses of the market to its fundamental shocks. The results reveal that the US natural gas market tends to be much more sensitive to shocks occurring in regimes existing after the Decontrol Act 1989 than the other regimes. The paper also finds that shocks to the natural gas demand and price have negligible effects on natural gas production while the price of natural gas is mainly driven by specific demand shocks. Augmenting the model by incorporating the price of crude oil, the results show that the impacts of oil price shocks on natural gas prices are relatively small and regime-dependent.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 75, September 2018, Pages 42-53
نویسندگان
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