کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
963851 1479174 2014 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The response of U.S. natural gas futures and spot prices to storage change surprises: Fundamental information and the effect of escalating physical gas production
ترجمه فارسی عنوان
واکنش ایالات متحده به آینده ی گاز طبیعی و قیمت های نقطه ای برای ذخیره سازی تغییر شگفت انگیز: اطلاعات اساسی و اثر افزایش تولید فیزیکی گاز
کلمات کلیدی
قیمت گاز طبیعی، اخبار ذخیره سازی، پاسخ قیمت
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی

We study the behavior of U.S. natural gas futures and spot prices on and around the weekly announcements by the U.S. Energy Information Administration of the amount of natural gas in storage. We identify an inverse empirical relation between changes in futures prices and surprises in the change in natural gas in storage and that this relation is not driven by the absolute size of the surprise. The evidence also indicates prices react first in the futures market for natural gas with that information then flowing to the spot market. Post 2005, corresponding to a period of significant increases in the production of natural gas in the United States, the response of prices to storage surprises was larger in absolute value. No evidence is found of economically meaningful reactions to the surprise other than on the date the storage news is released. The results demonstrate the importance of fundamental information in the formation of natural gas prices.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 42, April 2014, Pages 156–173
نویسندگان
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