Natural Gas Markets: How Sensitive are they to Crude Oil Price Changes?

OPEC Energy Review, June 2009

14 Pages Posted: 13 Nov 2012

Date Written: November 12, 2012

Abstract

This paper investigates sensitivity of US natural gas price with crude oil price changes, using time varying coefficient models. Identification of the range of variation of the sensitivity of natural gas price to oil price change allows more accurate assessment of upper and minimum risk levels that can be utilized in pricing natural gas derivatives such as gas futures and option contracts, and gas storage facility contracts.

Suggested Citation

Onour, Ibrahim, Natural Gas Markets: How Sensitive are they to Crude Oil Price Changes? (November 12, 2012). OPEC Energy Review, June 2009, Available at SSRN: https://ssrn.com/abstract=2174365

Ibrahim Onour (Contact Author)

University of Khartoum ( email )

Shumbat
Khartoum North
Khartoum, Khartoum 13314
Sudan

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