ΕλληνικάClear Cookie - decide language by browser settings

OIL AND GAS MARKETS IN THE UK: EVIDENCE FOR FROM A COINTEGRATING APPROACH

Panagiotidis, Theodore and Rutledge, Emilie (2005) OIL AND GAS MARKETS IN THE UK: EVIDENCE FOR FROM A COINTEGRATING APPROACH. ["eprint_fieldopt_monograph_type_technicalreport" not defined]. UNSPECIFIED.

[img] Text
panagiotidis36.pdf

Download (249kB)

Abstract

The paper examines the relationship between UK wholesale gas prices and the Brent oil price over the period 1996-2003. Tests for Unit Roots and Cointegration are carried out and it is discovered that a long run equilibrium relationship between UK gas and oil prices predates the opening of the UK-Mainland Europe Inter-connector. Following a recursive methodology (Hansen & Johansen 1999), it was found that the cointegrating relationship is present throughout the sample period. However, the long run solutions seem to be more volatile. Evidence is provided that the short run relationship is linear and impulse response functions are used to examine the effects that a shock in oil would have on gas.

Item Type: Monograph (["eprint_fieldopt_monograph_type_technicalreport" not defined])
Uncontrolled Keywords: oil; gas; cointegration; nonparametric cointegration; recursive trace test; error correction; impulse response
Depositing User: Admin Admin
Date Deposited: 13 Oct 2015 17:55
Last Modified: 13 Oct 2015 17:55
URI: http://eprints.lib.uom.gr/id/eprint/507

Actions (login required)

View Item View Item