The Behaviour Mechanism Analysis of Regional Natural Gas Prices: A Multi-Scale Perspective

Energy, 101, 266-277.

36 Pages Posted: 5 Jul 2016 Last revised: 6 Jul 2016

See all articles by Jiang-Bo Geng

Jiang-Bo Geng

University of Science and Technology of China (USTC) - School of Management

Qiang Ji

Chinese Academy of Sciences (CAS) - Institute of Policy and Management

Ying Fan

Chinese Academy of Sciences - Institute of Policy and Management - Center for Energy and Environmental Policy Research

Date Written: 2016

Abstract

This paper analyses the behaviour mechanisms of natural gas prices in North American, Asian and European markets from a multi-scale perspective using the Ensemble Empirical Mode Decomposition and the cross-correlation method. The analytical framework directly measures contributions of the multi-scale components to natural gas price fluctuations and further investigates the dynamic relationships between influential factors (such as crude oil prices, weather and natural gas inventories) and each of multi-scale components of regional natural gas prices. The results show:

(1) Emergency events and the short-term disequilibrium between market supply and demand have significant impacts on natural gas prices in North America, while in Japan and Europe, trend terms play a leading role in natural gas price fluctuations.

(2) Unlike other markets, the North American natural gas market and the international crude oil market have significant interaction mechanisms. Temperature changes in the winter, rather than in the summer, can cause Henry Hub spot prices to fluctuate.

(3) Oil prices play the leading role in affecting Asian and European natural gas prices, having advance effects of one to three months and one to six months, respectively.

Keywords: Regionalisation; Natural gas prices; Ensemble Empirical Mode Decomposition; Multi-scale perspective; Cross-correlation analysis

Suggested Citation

Geng, Jiang-Bo and Ji, Qiang and Fan, Ying, The Behaviour Mechanism Analysis of Regional Natural Gas Prices: A Multi-Scale Perspective (2016). Energy, 101, 266-277., Available at SSRN: https://ssrn.com/abstract=2804593

Jiang-Bo Geng

University of Science and Technology of China (USTC) - School of Management ( email )

China

Qiang Ji (Contact Author)

Chinese Academy of Sciences (CAS) - Institute of Policy and Management ( email )

No.15 ZhongGuanCun BeiYiTiao Alley
Haidian District
Beijing, 100190
China

Ying Fan

Chinese Academy of Sciences - Institute of Policy and Management - Center for Energy and Environmental Policy Research ( email )

52 Sanlihe Rd.
Datun Road, Anwai
Beijing, Xicheng District 100864
China

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