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- W4281802014 abstract "This paper examines the relationship between the price of the Dubai crude oil and the price of the US natural gas using an updated monthly dataset from 1992 to 2018, incorporating the latter events in the energy markets. After employing a variety of unit root and cointegration tests, the long-run relationship is examined via the autoregressive distributed lag (ARDL) cointegration technique, along with the Toda-Yamamoto (1995) causality test. Our results indicate that there is a long-run relationship with a unidirectional causality running from the Dubai crude oil market to the US natural gas market. A variety of post specification tests indicate that the selected ARDL model is well-specified, and the results of the Toda-Yamamoto approach via impulse response functions, forecast error variance decompositions, and historical decompositions with generalized weights, show that the Dubai crude oil price retains a positive relationship and affects the US natural gas price." @default.
- W4281802014 created "2022-06-13" @default.
- W4281802014 creator A5061913836 @default.
- W4281802014 date "2022-06-03" @default.
- W4281802014 modified "2023-09-23" @default.
- W4281802014 title "Cointegration and ARDL specification between the Dubai crude oil and the US natural gas market" @default.
- W4281802014 doi "https://doi.org/10.48550/arxiv.2206.03278" @default.
- W4281802014 hasPublicationYear "2022" @default.
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