Testing for Market Integration Crude Oil, Coal, and Natural Gas

By Lance J. Bachmeier, J. M. Griffin. 2006

299 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/07f10d974903fc48950d73e777478e5a779897c1

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In Economics and Econometrics

In Renewable Energy, Sustainability and the Environment

Citations in the corpus

Oil prices, speculation, and fundamentals: Interpreting causal relations among spot and futures prices (2009, background): “Several studies find that prices for crude oils from different parts of the globe cointegrate (Gulen, 1997, 1999; Ewing and Harter, 2000; Bachmeier and Griffin, 2006; Bentzen, 2007).”
Integration and shock transmissions across European electricity forward markets (2010, background): “However given the non-stationarity of forward prices we follow Engle and Granger (1987) and seek more appropriately to implement a VEC(1) specified as follows, considering only three markets and a significant cointegrating equation among them, ∆waGt = γ1∆wa F t + φ1∆wa U t + α1 ( waGt−1 − β1waFt−1 −”
Oil and gas markets in the UK : Evidence from a cointegrating approach (2007, background): “However, recently Bachmeier and Griffin (2006) find evidence of weak integration between crude oil, natural gas and coal markets in the USA.”
A model of carbon price interactions with macroeconomic and energy dynamics (2011, background): “These effects depend on the relative price of fuels and energy inputs to production (see for instance Bachmeier and Griffin (2006) in this vast literature).”
The role of market fundamentals and speculation in recent price changes for crude oil (2011, background): “His hypothesis is confirmed repeatedly by studies that find prices for various grades of crude oil from different parts of the globe cointegrate (e.g. Gulen, 1999, 1999; Ewing and Harter, 2000; Bachmeier and Griffin, 2006; Hammoudeh et al., 2008).”
The Relationship of Natural Gas to Oil Prices (2008, background): “Bachmeier and Griffin (2006) also examine the evidence for cointegration within as well as across various commodity markets.”