Testing for market integration crude oil, coal, and natural gas

Journal Article · Sat Jul 01 00:00:00 EDT 2006 · Energy Journal

DOI:https://doi.org/10.5547/ISSN0195-6574-EJ-Vol27-No2-4· OSTI ID:20741172

Bachmeier, L J; Griffin, J M ^[1]

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1. Texas A&

Prompted by the contemporaneous spike in coal, oil, and natural gas prices, this paper evaluates the degree of market integration both within and between crude oil, coal, and natural gas markets. Our approach yields parameters that can be readily tested against a priori conjectures. Using daily price data for five very different crude oils, we conclude that the world oil market is a single, highly integrated economic market. On the other hand, coal prices at five trading locations across the United States are cointegrated, but the degree of market integration is much weaker, particularly between Western and Eastern coals. Finally, we show that crude oil, coal, and natural gas markets are only very weakly integrated. Our results indicate that there is not a primary energy market. Despite current price peaks, it is not useful to think of a primary energy market, except in a very long run context.

• OSTI ID: 20741172
• Journal Information: Energy Journal, Vol. 27, Issue 2; ISSN 0195-6574
• Country of Publication: United States
• Language: English

Related Subjects

01 COAL, LIGNITE, AND PEAT
02 PETROLEUM
03 NATURAL GAS
MARKET
COAL
PETROLEUM
NATURAL GAS
PRICES
GLOBAL ASPECTS
USA