The Reaction of the Natural Gas Price to the Changes of the Crude Oil Price in Europe and Asia Regional Markets: MSVAR Approach
This paper examines the response of the natural gas price to the crude oil price in regional markets.The price of natural gas varies in regional markets, mostly follow the crude oil price. Natural gas and crude oil are substitute in consumption and also complement in production. Economic variables s...
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| Format: | Article |
| Language: | fas |
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Allameh Tabataba'i University Press
2018-06-01
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| Series: | Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān |
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| Online Access: | https://jiee.atu.ac.ir/article_9135_b538d7dd1f5990a1d770de62fc9d7fb8.pdf |
| _version_ | 1797369271401054208 |
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| author | Teimour Mohamadi Abdol Rasoul Ghasemi Amir Nekounam |
| author_facet | Teimour Mohamadi Abdol Rasoul Ghasemi Amir Nekounam |
| author_sort | Teimour Mohamadi |
| collection | DOAJ |
| description | This paper examines the response of the natural gas price to the crude oil price in regional markets.The price of natural gas varies in regional markets, mostly follow the crude oil price. Natural gas and crude oil are substitute in consumption and also complement in production. Economic variables such as the crude oil and natural gas prices have inflammations and severe fluctuations over time that conventional linear regressions do not fit these fluctuations. The regime Switching Model provides a flexible and dynamic framework for nonlinear models and sudden reciprocal transfers. In this paper, by using the Markov switching model framework, the impact of the crude oil price on natural gas price has been measured during the period of the January 1992 to June 2017. The results show that in some regimes the price of crude oil has a direct effect on the price of natural gas and in some other ones has a reversible effect. In Europe, the first lag of crude oil price has a reverse effect for 1 month, and 18 months of direct effect, and the second lag of oil price in both regimes has a direct effect on the natural gas price. However for Asia in both regimes, the impact of oil price on natural gas price is straight and the prices are in the first regime for 28 months and 26 months under the second regime. |
| first_indexed | 2024-03-08T17:44:18Z |
| format | Article |
| id | doaj.art-cfce337f81cf472c9c50eb9f77e83644 |
| institution | Directory Open Access Journal |
| issn | 2423-5954 2476-6437 |
| language | fas |
| last_indexed | 2024-03-08T17:44:18Z |
| publishDate | 2018-06-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān |
| spelling | doaj.art-cfce337f81cf472c9c50eb9f77e836442024-01-02T10:48:31ZfasAllameh Tabataba'i University PressPizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān2423-59542476-64372018-06-0172713010.22054/jiee.2018.91359135The Reaction of the Natural Gas Price to the Changes of the Crude Oil Price in Europe and Asia Regional Markets: MSVAR ApproachTeimour Mohamadi0Abdol Rasoul Ghasemi1Amir Nekounam2Dapartment of Economics, Allameh TabaTaba’I UniversityDapartment of Economics, Allameh TabaTaba’I Universityeconomics, graduated faculty, Allameh Tabataba’i University, Tehran, IranThis paper examines the response of the natural gas price to the crude oil price in regional markets.The price of natural gas varies in regional markets, mostly follow the crude oil price. Natural gas and crude oil are substitute in consumption and also complement in production. Economic variables such as the crude oil and natural gas prices have inflammations and severe fluctuations over time that conventional linear regressions do not fit these fluctuations. The regime Switching Model provides a flexible and dynamic framework for nonlinear models and sudden reciprocal transfers. In this paper, by using the Markov switching model framework, the impact of the crude oil price on natural gas price has been measured during the period of the January 1992 to June 2017. The results show that in some regimes the price of crude oil has a direct effect on the price of natural gas and in some other ones has a reversible effect. In Europe, the first lag of crude oil price has a reverse effect for 1 month, and 18 months of direct effect, and the second lag of oil price in both regimes has a direct effect on the natural gas price. However for Asia in both regimes, the impact of oil price on natural gas price is straight and the prices are in the first regime for 28 months and 26 months under the second regime.https://jiee.atu.ac.ir/article_9135_b538d7dd1f5990a1d770de62fc9d7fb8.pdfnatural gas pricescrude oil pricemarkov switching vector autoregression models |
| spellingShingle | Teimour Mohamadi Abdol Rasoul Ghasemi Amir Nekounam The Reaction of the Natural Gas Price to the Changes of the Crude Oil Price in Europe and Asia Regional Markets: MSVAR Approach Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān natural gas prices crude oil price markov switching vector autoregression models |
| title | The Reaction of the Natural Gas Price to the Changes of the Crude Oil Price in Europe and Asia Regional Markets: MSVAR Approach |
| title_full | The Reaction of the Natural Gas Price to the Changes of the Crude Oil Price in Europe and Asia Regional Markets: MSVAR Approach |
| title_fullStr | The Reaction of the Natural Gas Price to the Changes of the Crude Oil Price in Europe and Asia Regional Markets: MSVAR Approach |
| title_full_unstemmed | The Reaction of the Natural Gas Price to the Changes of the Crude Oil Price in Europe and Asia Regional Markets: MSVAR Approach |
| title_short | The Reaction of the Natural Gas Price to the Changes of the Crude Oil Price in Europe and Asia Regional Markets: MSVAR Approach |
| title_sort | reaction of the natural gas price to the changes of the crude oil price in europe and asia regional markets msvar approach |
| topic | natural gas prices crude oil price markov switching vector autoregression models |
| url | https://jiee.atu.ac.ir/article_9135_b538d7dd1f5990a1d770de62fc9d7fb8.pdf |
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