Price and Volatility Spillovers between Crude Oil and Natural Gas markets in Europe and Japan-Korea

Authors

  • Theodosios Perifanis University of Piraeus
  • Athanasios Dagoumas University of Piraeus

Abstract

The shale gas developments over the last two decades have challenged the gas price linkage with crude oil. The decoupling of the US wholesale gas from oil markets is mainly attributed to the rapid development of unconventional production, which formed a regional natural gas market based on regional market fundamentals. Moreover, investments in exporting facilities in the US made more quantities available to the rest of the world making global integration more plausible. This paper provides empirical evidence on the price and volatility transmission among the main European (NBP and TTF) and the Japan-Korean Marker (JKM) gas markets with that of Brent crude oil market, a crude oil benchmark used in Europe and Asia. The paper provides evidence that there are no price spillovers among oil and gas in European gas hubs. The European markets, contrary to the JKM market, seem to be mature enough as in the case of the US gas market. Finally, the paper provides policy recommendations on key elements for establishing functional gas hubs.Keywords: natural gas and oil markets; price and volatility spillovers; Europe, JapanJEL Classifications:  Q40, Q41, C5DOI: https://doi.org/10.32479/ijeep.9774

Downloads

Download data is not yet available.

Author Biography

Athanasios Dagoumas, University of Piraeus

Assistant Professor in Energy & Resourse Economics

Downloads

Published

2020-08-10

How to Cite

Perifanis, T., & Dagoumas, A. (2020). Price and Volatility Spillovers between Crude Oil and Natural Gas markets in Europe and Japan-Korea. International Journal of Energy Economics and Policy, 10(5), 432–446. Retrieved from https://mail.econjournals.com/index.php/ijeep/article/view/9774

Issue

Vol. 10 No. 5 (2020)

Section

Articles

License

Submission of an article implies that the work described has not been published previously , that it is not under consideration for publication elsewhere, that its publication is approved by all authors and tacitly or explicitly by the responsible authorities where the work was carried out, and that, if accepted, will not be published elsewhere in the same form, without the written consent of the Publisher. The Editors reserve the right to edit or otherwise alter all contributions, but authors will receive proofs for approval before publication.