بررسي رابطه قيمت نفت خام و گاز طبيعي

An Assessment of the Relationship between Crude Oil and Natural Gas Prices

This paper examines the time series econometric relationship between the natural gas commercial price in the USA and OPEC basket price of crude oil, taking into account the total natural gas consumption in the USA. The two markets closely resemble each other due to substitution possibilities between them. This paper applies the Vector Auto Regression method to the relationship amongst the following three variables: PEC crude oil prices, commercial price of natural gas in the USA and total industrial and household consumption of natural gas in the USA. This paper uses monthly data from January 2001 to February 2009. We find a co-integrating relationship between these time series which means the regression is not spurious. The dynamic relationship suggests that a shock of 1 percent in the long term OPEC oil price basket will lead to a 4 percent change in the price of natural gas. In addition, for every 100000 units change in total gas consumption there will be a 0.443 units change in the price of natural gas. JEL Classification: C22, Q40, Q41, Q49