An Analysis of Dynamic Correlations among Oil, Natural Gas and Ethanol Markets: New Evidence from the Pre- and Post-COVID-19 Crisis
After the economic shock caused by COVID-19, with relevant effects on both the supply and demand for energy assets, there was greater interest in understanding the relationships between key energy prices. In order to contribute to a deeper understanding of energy price relationships, this paper anal...
| Main Authors: | , , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-02-01
|
| Series: | Energies |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1996-1073/16/5/2349 |
| _version_ | 1797615387473346560 |
|---|---|
| author | Derick Quintino Cristiane Ogino Inzamam Ul Haq Paulo Ferreira Márcia Oliveira |
| author_facet | Derick Quintino Cristiane Ogino Inzamam Ul Haq Paulo Ferreira Márcia Oliveira |
| author_sort | Derick Quintino |
| collection | DOAJ |
| description | After the economic shock caused by COVID-19, with relevant effects on both the supply and demand for energy assets, there was greater interest in understanding the relationships between key energy prices. In order to contribute to a deeper understanding of energy price relationships, this paper analyzes the dynamics between the weekly spot prices of oil, natural gas and benchmark ethanol in the US markets. The analysis period started on 23 June 2006 and ended on 10 June 2022. This study used the DMCA cross-correlation coefficient in a dynamic way, using sliding windows. Among the main results, it was found that: (i) in the post-pandemic period, oil and natural gas were not correlated, in both short- and long-term timescales; and (ii) ethanol was negatively associated with natural gas in the most recent post-pandemic period, especially in short-term scales. The results of the present study are potentially relevant for both market and public agents regarding investment diversification strategies and can aid public policies due to the understanding of the interrelationship between energy prices. |
| first_indexed | 2024-03-11T07:25:33Z |
| format | Article |
| id | doaj.art-7116902af172485aac028dfcd945557c |
| institution | Directory Open Access Journal |
| issn | 1996-1073 |
| language | English |
| last_indexed | 2024-03-11T07:25:33Z |
| publishDate | 2023-02-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Energies |
| spelling | doaj.art-7116902af172485aac028dfcd945557c2023-11-17T07:37:29ZengMDPI AGEnergies1996-10732023-02-01165234910.3390/en16052349An Analysis of Dynamic Correlations among Oil, Natural Gas and Ethanol Markets: New Evidence from the Pre- and Post-COVID-19 CrisisDerick Quintino0Cristiane Ogino1Inzamam Ul Haq2Paulo Ferreira3Márcia Oliveira4Independent Researcher, Anchieta Street, 697, Nova Odessa 13380-009, São Paulo, BrazilCenter for Advanced Studies on Applied Economics, “Luiz de Queiroz” College of Agriculture, University of São Paulo (CEPEA\ESALQ\USP), Piracicaba 13400-970, São Paulo, BrazilBusiness School, Liaoning University, Shenyang 110036, ChinaVALORIZA—Research Center for Endogenous Resource Valorization, 7300-555 Portalegre, PortugalDepartment of Economic Sciences and Organizations, Polytechnic Institute of Portalegre, 7300-555 Portalegre, PortugalAfter the economic shock caused by COVID-19, with relevant effects on both the supply and demand for energy assets, there was greater interest in understanding the relationships between key energy prices. In order to contribute to a deeper understanding of energy price relationships, this paper analyzes the dynamics between the weekly spot prices of oil, natural gas and benchmark ethanol in the US markets. The analysis period started on 23 June 2006 and ended on 10 June 2022. This study used the DMCA cross-correlation coefficient in a dynamic way, using sliding windows. Among the main results, it was found that: (i) in the post-pandemic period, oil and natural gas were not correlated, in both short- and long-term timescales; and (ii) ethanol was negatively associated with natural gas in the most recent post-pandemic period, especially in short-term scales. The results of the present study are potentially relevant for both market and public agents regarding investment diversification strategies and can aid public policies due to the understanding of the interrelationship between energy prices.https://www.mdpi.com/1996-1073/16/5/2349WTI pricesHenry Hub pricesUS ethanol pricesdetrending moving averagecross-correlationsliding windows |
| spellingShingle | Derick Quintino Cristiane Ogino Inzamam Ul Haq Paulo Ferreira Márcia Oliveira An Analysis of Dynamic Correlations among Oil, Natural Gas and Ethanol Markets: New Evidence from the Pre- and Post-COVID-19 Crisis Energies WTI prices Henry Hub prices US ethanol prices detrending moving average cross-correlation sliding windows |
| title | An Analysis of Dynamic Correlations among Oil, Natural Gas and Ethanol Markets: New Evidence from the Pre- and Post-COVID-19 Crisis |
| title_full | An Analysis of Dynamic Correlations among Oil, Natural Gas and Ethanol Markets: New Evidence from the Pre- and Post-COVID-19 Crisis |
| title_fullStr | An Analysis of Dynamic Correlations among Oil, Natural Gas and Ethanol Markets: New Evidence from the Pre- and Post-COVID-19 Crisis |
| title_full_unstemmed | An Analysis of Dynamic Correlations among Oil, Natural Gas and Ethanol Markets: New Evidence from the Pre- and Post-COVID-19 Crisis |
| title_short | An Analysis of Dynamic Correlations among Oil, Natural Gas and Ethanol Markets: New Evidence from the Pre- and Post-COVID-19 Crisis |
| title_sort | analysis of dynamic correlations among oil natural gas and ethanol markets new evidence from the pre and post covid 19 crisis |
| topic | WTI prices Henry Hub prices US ethanol prices detrending moving average cross-correlation sliding windows |
| url | https://www.mdpi.com/1996-1073/16/5/2349 |
| work_keys_str_mv | AT derickquintino ananalysisofdynamiccorrelationsamongoilnaturalgasandethanolmarketsnewevidencefromthepreandpostcovid19crisis AT cristianeogino ananalysisofdynamiccorrelationsamongoilnaturalgasandethanolmarketsnewevidencefromthepreandpostcovid19crisis AT inzamamulhaq ananalysisofdynamiccorrelationsamongoilnaturalgasandethanolmarketsnewevidencefromthepreandpostcovid19crisis AT pauloferreira ananalysisofdynamiccorrelationsamongoilnaturalgasandethanolmarketsnewevidencefromthepreandpostcovid19crisis AT marciaoliveira ananalysisofdynamiccorrelationsamongoilnaturalgasandethanolmarketsnewevidencefromthepreandpostcovid19crisis AT derickquintino analysisofdynamiccorrelationsamongoilnaturalgasandethanolmarketsnewevidencefromthepreandpostcovid19crisis AT cristianeogino analysisofdynamiccorrelationsamongoilnaturalgasandethanolmarketsnewevidencefromthepreandpostcovid19crisis AT inzamamulhaq analysisofdynamiccorrelationsamongoilnaturalgasandethanolmarketsnewevidencefromthepreandpostcovid19crisis AT pauloferreira analysisofdynamiccorrelationsamongoilnaturalgasandethanolmarketsnewevidencefromthepreandpostcovid19crisis AT marciaoliveira analysisofdynamiccorrelationsamongoilnaturalgasandethanolmarketsnewevidencefromthepreandpostcovid19crisis |