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Modeling UK Natural Gas Prices When Gas Prices Periodically Decouple from the Oil Price
Asche, Frank - 2015
, conventional linear models of price dynamics such as the Vector Error Correction Model (VECM) can lead to erroneous inferences … about cointegration relationships, price adjustments and relative values. We propose the use of regime-switching models to … address these issues. Our regime switching model uses price data to infer whether pricing is oil-driven (integrated) or gas …
Persistent link: https://www.econbiz.de/10013026625
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Jump Processes in Natural Gas Markets
Mason, Charles F. - 2014
Natural gas is likely to become increasingly important in the future. Understanding the stochastic underpinnings of natural gas prices will be critical, both to policy analysts and to market participants. To this end, we investigate the potential presence of jumps in natural gas spot prices in...
Persistent link: https://www.econbiz.de/10013058515
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Vertical Market Power in Interconnected Natural Gas and Electricity Markets
Marks, Levi - 2017
experienced severe, simultaneous price spikes. While frequently attributed to limited pipeline capacity serving the region, we … demonstrate that such price spikes have been exacerbated by some gas distribution firms scheduling deliveries without actually …
Persistent link: https://www.econbiz.de/10012943388
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Liberalizing Russian Gas Markets – An Economic Analysis
Aune, Finn Roar - 2017
The Russian gas market is highly regulated. In this paper we examine possible impacts of regulatory changes on the demand side of this market. In particular, we consider the effects on Russian energy consumers of removing natural gas subsidies, and how changes in Russian gas consumption may...
Persistent link: https://www.econbiz.de/10012971536
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Measuring the Integration of Staple Food Markets in Sub-Saharan Africa : Heterogeneous Infrastructure and Cross Border Trade in the East African Community
Ihle, Rico - 2015
markets and the factors determining national and cross-national transmission of price signals in Sub-Saharan Africa. We use a …
Persistent link: https://www.econbiz.de/10013038042
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Measuring the Integration of Staple Food Markets in Sub-Saharan Africa: Heterogeneous Infrastructure and Cross Border Trade in the East African Community
Ihle, Rico; Cramon-Taubadel, Stephan von; Zorya, Sergiy - CESifo - 2011
markets and the factors determining national and cross-national transmission of price signals in Sub-Saharan Africa. We use a …
Persistent link: https://www.econbiz.de/10008914284
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Modeling Fluctuations in the Global Demand for Commodities
Kilian, Lutz - 2018
It is widely understood that the real price of globally traded commodities is determined by the forces of demand and … supply. One of the main determinants of the real price of commodities is shifts in the demand for commodities associated with … new evidence, we show that the global commodity price boom of the 2000s appears to have been largely transitory. Our …
Persistent link: https://www.econbiz.de/10012930077
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Maize and Precolonial Africa
Cherniwchan, Jevan - 2018
Columbus's arrival in the New World triggered an unprecedented movement of people and crops across the Atlantic Ocean. We study an overlooked part of this Columbian Exchange: the effects of New World crops in Africa. Specifically, we test the hypothesis that the introduction of maize increased...
Persistent link: https://www.econbiz.de/10012916354
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UK Natural Gas: Gas-Specific or Oil Driven Pricing?
Asche, Frank; Oglend, Atle; Osmundsen, Petter - CESifo - 2013
In this paper we investigate the time-varying relationship between oil and natural gas in the UK. We develop a model where relative prices can move between pricing-regimes; markets switch between being decoupled and integrated. Our model endogenously accounts for periods where oil and natural...
Persistent link: https://www.econbiz.de/10010721610
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Modeling UK Natural Gas Prices when Gas Prices Periodically Decouple from the Oil Price
Asche, Frank; Oglend, Atle; Osmundsen, Petter - CESifo - 2015
, conventional linear models of price dynamics such as the Vector Error Correction Model (VECM) can lead to erroneous inferences … about cointegration relationships, price adjustments and relative values. We propose the use of regime-switching models to … address these issues. Our regime switching model uses price data to infer whether pricing is oil-driven (integrated) or gas …
Persistent link: https://www.econbiz.de/10011194232