چکیده:
his study examines the existence of long run relation between crude oil, natural gas and coal prices. Energy data for US is used andBased on the result of The Augmented Dickey-Fuller (ADF) tests, autoregressive distributed lag (ARDL) approach is adapted to cointegration analysis. Underlying ARDL model is specified inlogarithmic form, so that the coefficients indicate the elasticities. Long run relationship and error correction model (ECM) are estimated for selected ARDL. Moreover, to confirm the stability of the model,CUSUM and CUSUMSQ tests are also conducted with the results that the estimated model is completely stable. The results confirm the existence of long run relation between coal, gas and oil prices.However, in short run gas prices have no effects on the oil prices as its coefficient is insignificant
خلاصه ماشینی:
Energy data for US is used andBased on the result of The Augmented Dickey-Fuller (ADF) tests, autoregressive distributed lag (ARDL) approach is adapted to cointegration analysis.
energy (Oil, Gas, Coal) prices; unit root; cointegration;autoregressive distributed lag (ARDL; ECM model 1- Introduction One characteristic of commodity prices is the presence of a unit root in their univariate time series representation, implying that price movements are better characterized as being the sum of permanent and transitory components where the permanent component is a random walk.
King and Cuc (1996) investigated the strength of spot price integration between various natural gas producing basins of North America, from the mid 1980’s until the mid 1990’s and with time varying parameter (Kalman Filter) and cointegration analysis.
Tests for unit roots and cointegration were carried out and it was discovered that a long- run equilibrium relationship between UK gas and oil prices exists.
5- Autoregressive Distributed Lag (ARDL) Model and Empirical Results Because underlying variables (Oil, Gas and Coal) have different integration degrees, ARDL approach is adopted for cointegration analysis.
As integration degree of variables are not same the Autoregressive Distributed Lag (ARDL) approach to cointegration adapted to cointegration analysis on Oil, Gas and coal prices.
Based on the result of cointegration analysis, we can found the long run relationship between oil, gas and coal prices.
M. (2006), "Testing for Market Integration Crude Oil, Coal, and Natural Gas", Energy Journal, Vol. 27, pp.