The behaviour mechanism analysis of regional natural gas prices: A multi-scale perspective. (15th April 2016)

• Record Type: Journal Article
• Authors: Geng, Jiang-Bo; Ji, Qiang; Fan, Ying
• Is Part Of: Energy. Volume 101(2016)
• Page Start: 266
• Page End: 277
• Publication Date: 2016-04-15
• Subjects: Regionalisation -- Natural gas prices -- Ensemble Empirical Mode Decomposition -- Multi-scale perspective -- Cross-correlation analysis; Power resources -- Periodicals; Power (Mechanics) -- Periodicals; Energy consumption -- Periodicals; 333.7905
• DOI: 10.1016/j.energy.2016.02.045
• Languages: English
• ISSNs: 0360-5442

Abstract

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. Highlights: Multi-scale analysis unravels nature of regional natural gas price fluctuations. Multi-scale cross correlation between oil prices and regional gas prices is explored. Significant events and short-term market disequilibrium influence Henry hub prices. Oil market and North American natural gas market have interaction mechanisms. Oil prices play the leading role for Japanese and European gas prices.