Re-examining crude oil and natural gas price relationship: Evidence from time-varying regime-switching models

• Published in: Energy economics Vol. 133; p. 107510
• Main Author: Hasanli, Mübariz
• Format: Journal Article
• Language: English
• Published: Elsevier B.V 01.05.2024
• Subjects: Gas prices; Nonlinearities; Oil prices; Structural breaks; Oil prices; Gas prices; Structural breaks; C32; C01; Nonlinearities; C51; Q41

In this paper, we re-examine the relationship between crude oil and natural gas prices. Using a more flexible modelling approach, we find that the relationship between these two prices are more complex than previously documented. Specifically, we find that both the short-run and long-run relationshi...