The Impact of Outliers on Computing Conditional Risk Measures for Crude Oil and Natural Gas Commodity Futures Prices

2018 ◽  
Author(s):  
Joe W. Byers ◽  
Ivilina Popova ◽  
Betty J. Simkins
Keyword(s):  
Natural Gas ◽  
Crude Oil ◽  
Risk Measures ◽  
Commodity Futures ◽  
Futures Prices ◽  
Conditional Risk ◽  
Oil And Natural Gas ◽  
Conditional Risk Measures ◽  
The Impact

scholarly journals Crude oil, natural gas, and economic growth: impact and causality analysis in Caspian Sea region

2018 ◽  
Vol 54 (3) ◽  
pp. 169-184 ◽  
Author(s):  
S M Rashed Jahangir ◽  
Betul Yuce Dural
Keyword(s):  
Economic Growth ◽  
Natural Gas ◽  
Crude Oil ◽  
Caspian Sea ◽  
Oil Price ◽  
Crude Oil Price ◽  
Causality Test ◽  
Oil And Natural Gas ◽  
Gas Price ◽  
The Impact

Abstract The main objective of this study was to investigate the impact and causality of crude oil and natural gas on economic growth in the Caspian Sea region. Here, the study applies ordinary least square (OLS) method and Granger causality test using time series data from 1997 to 2015 to ascertain the impact and causality of crude oil and natural gas on economic growth. The results, according to the OLS method, evince that crude oil and natural gas have a significant impact on economic growth of the region. Alongside, considering causality test, gross domestic product (GDP) does Granger cause (unidirectional) crude oil price and export which denotes that GDP can help to forecast crude oil price and export; however, crude oil price and export cannot help to forecast GDP. Surprisingly, this direction is unlikely for GDP and natural gas. GDP and natural gas have unidirectional, but opposite causal relationship, i.e., natural gas price and export do Granger cause GDP which signify that natural gas price and export can help to forecast GDP; however, GDP cannot help to forecast crude oil price and export.

scholarly journals Comparison of the Impact of Econometric Models on Hedging Performance by Crude Oil and Natural Gas

2018 ◽  
Vol 66 (2) ◽  
pp. 423-429
Author(s):  
Luděk Benada
Keyword(s):  
Natural Gas ◽  
Crude Oil ◽  
Risk Reduction ◽  
Econometric Models ◽  
Spot Price ◽  
Spot Prices ◽  
Oil And Natural Gas ◽  
Risk Protection ◽  
High Level ◽  
The Impact

The paper examines the performance of hedging spot prices in crude oil and natural gas. The subject of the research are spot prices of West Texas Intermediate and Henry Hub. The risk protection is provided by the application of futures contracts of underlying assets. In our analysis three econometric models (OLS, Copula, GARCH) and a naive portfolio are applied to obtain the optimal hedge ratio. Afterwards, the calculated weights for futures are verified for the ability to reduce the spot price risk over twelve months. The success of each model in risk reduction is measured over the test period by a conventional tool and across the models by proper metric. The results of the analysis confirm high level of risk reduction by crude oil across models. On the contrary, the results of hedging in natural gas significantly lag in comparison to crude oil. In addition, the analysis confirms a strong variability over the tested period and models.

scholarly journals The Analysis of Natural Gas and Crude Oil Market from the Global and EU Perspective

2012 ◽  
Vol 5 (18) ◽  
pp. 282-296
Author(s):  
Saleh Mothana Obadi ◽  
Matej Korček
Keyword(s):  
Natural Gas ◽  
Crude Oil ◽  
Supply And Demand ◽  
Oil Market ◽  
Natural Gas Development ◽  
Oil And Natural Gas ◽  
Gas Market ◽  
The One ◽  
The Impact ◽  
The Eu

Abstract This paper deals with the development of the crude oil and natural gas market in the world and especially in the EU. The analysis of the mentioned energy commodities are based on time serious statistical data and legislative documents and treaties adjusting the energy market. In this paper we analyze how the natural gas and crude oil as the two energy sources that are on the one hand most important in the energy mix and on the other hand least available within the very territory of EU itself therefore meaning the largest threat to the energy security of EU countries. We focus on analyzing of development of the worlds crude oil and natural gas development as the economic environment developed during last 20 year. Then we characterize what has EU done as the reaction on this development and finally we analyze the impact on EU in terms of supply and demand for natural gas and crude oil in first decade of 21st century. We found that, in 2009, the 66 % of EU natural gas imports were from four countries (Russia, Algeria, Norway and Nigeria) and the EU crude oil imports reached about 87 %.

scholarly journals Energy Prices and COVID-Immunity: The Case of Crude Oil and Natural Gas Prices in the US and Japan

Energies ◽  
2020 ◽  
Vol 13 (23) ◽  
pp. 6300
Author(s):  
Honorata Nyga-Łukaszewska ◽  
Kentaka Aruga
Keyword(s):  
Natural Gas ◽  
Crude Oil ◽  
Oil And Gas ◽  
Negative Impact ◽  
The United States ◽  
Energy Markets ◽  
Energy Prices ◽  
The Us ◽  
Oil And Natural Gas ◽  
The Impact

The COVID-19 pandemic storm has struck the world economies and energy markets with extreme strength. The goal of our study is to assess how the pandemic has influenced oil and gas prices, using energy market reactions in the United States and Japan. To investigate the impact of the COVID-19 cases on the crude oil and natural gas markets, we applied the Auto-Regressive Distributive Lag (ARDL) approach to the number of the US and Japanese COVID-19 cases and energy prices. Our study period is from 21 January 2020 to 2 June 2020, and uses the latest data available at the time of model calibration and captures the so-called “first pandemic wave”. In the US, the COVID-19 pandemic had a statistically negative impact on the crude oil price while it positively affected the gas price. In Japan, this negative impact was only apparent in the crude oil market with a two-day lag. Possible explanations of the results may include differences in pandemic development in the US and Japan, and the diverse roles both countries have in energy markets.

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