The Switching Relationship between Natural Gas and Crude Oil Prices
The Switching Relationship between Natural Gas and Crude Oil Prices
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DOI：
10.2139/ssrn.2194215
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发表时间：
2013-10
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影响因子：
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通讯作者：
Matthew Brigida
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文献类型：
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作者：
Matthew Brigida
在这项分析中，我们更准确地捕捉天然气和原油价格之间的协整关系，内生地将协整向量的变化到协整方程的估计。具体来说，我们允许协整方程之间切换的m个状态，根据一阶马尔可夫过程。首先，我们发现的证据表明，政权转换存在于相对定价关系，两个是最佳的国家数量。一旦我们控制了协整向量的变化，我们发现天然气和原油价格是协整的，并且正确地指定了它们的长期均衡关系的误差修正模型（ECM）。这一发现扩大了ECM模型的关系，更长和更多样化的样本周期。此外，在一个直接比较的两个和一个状态的协整方程，我们发现的证据的潜在优势的两个状态方程，因为它可能是强大的移位的协整向量错过了标准测试的单位根。此外，我们的分析发现，有证据表明，天然气和原油价格在21世纪初并没有永久“脱钩”，而是经历了暂时的制度转变。我们发现，预测的天然气和原油的相对价格，应该以状态概率。
In this analysis we more accurately capture the cointegrating relationship between natural gas and crude oil prices by endogenously incorporating shifts in the cointegrating vector into the estimation of the cointegrating equation. Specifically, we allow the cointegrating equation to switch between m states, according to a first-order Markov process. First, we find evidence that regime-switching exists in the relative pricing relationship, and that two is the optimal number of states. Once we control for shifts in the cointegrating vector, we find that natural gas and crude oil prices are cointegrated, and an error correction model (ECM) of their long-term equilibrium relationship is properly specified. This finding broadens the ECM model of their relationship to longer and more varied sample periods. Also, in a direct comparison of the two and one state cointegrating equations, we found evidence of the potential superiority of the two-state equation, in that it may be robust to shifts in the cointegrating vector which are missed by standard tests for a unit root. Further, our analysis finds evidence that natural gas and crude oil prices did not permanently ‘decouple’ in the early 2000s, but rather experienced a temporary shift in regimes. We find that forecasts of the relative pricing of natural gas and crude oil should be conditioned on state probability.