This study examines the dynamic economic relationships between the fundamental variables that influence natural gas prices within the U.S. market. A structural vector auto-regressive (VAR) and Markov switching models were used to investigate the impact and stability of regime switches between the main drivers of natural gas prices. The result reveals that the U.S. gas market market is sensitive to temperature deviations in the short term. Crude oil and coal prices have long-run effects on natural gas prices, emphasizing energy-specific demand shocks. Mainly, coal prices determine about 73% of gas price variability for the sample period with three discernible regime switches.
Part of the book: Research Advances in Syngas