A wavelet analysis of the relationship between oil and natural gas prices

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dc.contributor.authorTiwari, Aviral Kumar
dc.contributor.authorMukherjee, Zinnia
dc.contributor.authorGupta, Rangan
dc.contributor.authorBalcilar, Mehmet
dc.date.accessioned2026-02-06T18:40:29Z
dc.date.issued2019
dc.departmentDoğu Akdeniz Üniversitesi
dc.description.abstractIn this paper, we aim to explore the relationship between natural gas and crude oil prices for the U.S. economy over the time period 1997 and 2017 in both the unconditional and conditional framework by conditioning the relationship on natural gas production. The time period covers the recent shale gas supply boom. Our results indicate that during the shale gas revolution period of 2007-2013, oil and natural gas prices were procyclical and oil prices were leading natural gas prices. Once we control for the natural gas production we find that significant or high wavelet coherency is observed during 2000-2015 for 3-4 years scale. These results have implications for cross-market policy effects.
dc.identifier.doi10.1016/j.resourpol.2018.11.020
dc.identifier.endpage124
dc.identifier.issn0301-4207
dc.identifier.issn1873-7641
dc.identifier.orcid0000-0002-1822-9263
dc.identifier.orcid0000-0001-9694-5196
dc.identifier.scopus2-s2.0-85059024656
dc.identifier.scopusqualityQ1
dc.identifier.startpage118
dc.identifier.urihttps://doi.org/10.1016/j.resourpol.2018.11.020
dc.identifier.urihttps://hdl.handle.net/11129/13341
dc.identifier.volume60
dc.identifier.wosWOS:000463120100011
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherElsevier Sci Ltd
dc.relation.ispartofResources Policy
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.snmzKA_WoS_20260204
dc.subjectOil
dc.subjectNatural gas prices
dc.subjectShale gas revolution
dc.subjectWavelet analysis
dc.titleA wavelet analysis of the relationship between oil and natural gas prices
dc.typeArticle

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