University of Tasmania
Browse

File(s) under permanent embargo

Asymmetric reactions of the US natural gas market and economic activity

journal contribution
posted on 2023-05-20, 18:25 authored by Bao NguyenBao Nguyen, Okimoto, T
This paper provides new empirical evidence on the asymmetric reactions of the US natural gas market and US economy to its market fundamental shocks. We find that results based on a smooth transition vector autoregressive (STVAR) model provides a plausible and robust explanation to the behavior of the US natural gas market, which asymmetrically reacts in bad times and good times. During times of recession, natural gas production shrinks in response to a positive oil price shock, while the corresponding response is found to be positive in times of expansion. The positive relationship between the price of natural gas and crude oil is found to be more prominent in expansions, especially in the long run. In addition, the results also reveal that US economic activity is much more sensitive to oil and natural gas price shocks occurring in bad times than in good times.

History

Publication title

Energy Economics

Volume

80

Issue

C

Pagination

86-99

ISSN

0140-9883

Department/School

TSBE

Publisher

Elsevier Science Bv

Place of publication

Po Box 211, Amsterdam, Netherlands, 1000 Ae

Rights statement

Copyright 2018 Elsevier B.V.

Repository Status

  • Restricted

Socio-economic Objectives

Economic growth; Macroeconomics not elsewhere classified

Usage metrics

    University Of Tasmania

    Exports

    RefWorks
    BibTeX
    Ref. manager
    Endnote
    DataCite
    NLM
    DC