Ren, X., Lu, Z., Cheng, C., Shi, Y. and Shen, J. (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, pp. 234-252. (doi: 10.1016/j.eneco.2019.01.001)
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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.
| Item Type: | Articles |
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| Additional Information: | This work was partially supported by the European Research Agency’s Marie Curie Career Integration Grant [grant numbers PCIG14-GA-2013-631692], which is also acknowledged. |
| Status: | Published |
| Refereed: | Yes |
| Glasgow Author(s) Enlighten ID: | Shi, Dr Yukun |
| Authors: | Ren, X., Lu, Z., Cheng, C., Shi, Y., and Shen, J. |
| College/School: | College of Social Sciences > Adam Smith Business School > Accounting and Finance |
| Journal Name: | Energy Economics |
| Publisher: | Elsevier |
| ISSN: | 0140-9883 |
| ISSN (Online): | 1873-6181 |
| Published Online: | 10 January 2019 |
| Copyright Holders: | Copyright © 2019 Elsevier B.V. |
| First Published: | First published in Energy Economics 80: 234-252 |
| Publisher Policy: | Reproduced in accordance with the publisher copyright policy |
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