TY  - JOUR
TI  - AN ANALYSIS OF COAL AND OIL PRICE TRANSMISSION TO NATURAL GAS PRICE VOLATILITY
AB  - This study aims to analyze the causes of price volatility transmission between natural gas and substitute energy commodities in different markets after accounting the natural gas price interdependency. Besides, it is intended to contribute to the understanding of natural gas price volatility and transmission of price volatility in energy markets and present empirical findings by applying DCC-GARCH model to the system of recent natural gas, oil, and coal price data that would be of use to academic literature as well as energy market participants, international trade parties, and policymakers. The oil and coal are substitutes for natural gas, so as the prices of the substitutes change, they affect the price and volatility of natural gas. Hence, the examination is carried out with National Balancing Point, Henry Hub, Title Transfer Facility, Zeebrugge Hub, and Japan Korean Marker prices as endogenous set of natural gas variables with prices of Brent Oil, West Texas Intermediate Oil, and Newcastle Coal as exogenous variables. Accordingly, coal prices are found to be more effective in terms of natural gas price volatility as a substitute, and the higher the coal prices, the higher the volatility of the natural gas prices. These findings are also compatible with the other exogenous variables of oil prices, but the relationship is more effective in coal prices because natural gas mainly replaces coal as a close substitute. This situation creates a source of perception in terms of pricing and price fluctuations concerning volatility in natural gas markets.
AU  - Şahin, Göktuğ
PY  - 2022
JO  - Akademik Hassasiyetler
VL  - 9
IS  - 20
SN  - 2148-5933
SP  - 223
EP  - 243
DB  - TRDizin
UR  - http://search/yayin/detay/1150759
ER  -