论文标题
迪拜原油与美国天然气市场之间的协整和ARDL规范
Cointegration and ARDL specification between the Dubai crude oil and the US natural gas market
论文作者
论文摘要
本文研究了迪拜原油价格与美国天然气价格之间的关系，使用1992年至2018年的每月数据集更新，并将后者的事件纳入能源市场。在采用了各种单位根和协整测试之后，通过自回归分布式滞后（ARDL）协整技术检查了长期关系，以及Toda-Yamamoto（1995）的因果关系测试。我们的结果表明，从迪拜原油市场到美国天然气市场的单向因果关系存在长期关系。各种规格测试表明，所选的ARDL模型已得到很好的指定，并且通过IMPULSE响应功能，预测误差方差分解和具有广义重量的历史分解，Toda-Yamamoto方法的结果表明，迪拜油价保持正相关，并影响了美国的天然气价。
This paper examines the relationship between the price of the Dubai crude oil and the price of the US natural gas using an updated monthly dataset from 1992 to 2018, incorporating the latter events in the energy markets. After employing a variety of unit root and cointegration tests, the long-run relationship is examined via the autoregressive distributed lag (ARDL) cointegration technique, along with the Toda-Yamamoto (1995) causality test. Our results indicate that there is a long-run relationship with a unidirectional causality running from the Dubai crude oil market to the US natural gas market. A variety of post specification tests indicate that the selected ARDL model is well-specified, and the results of the Toda-Yamamoto approach via impulse response functions, forecast error variance decompositions, and historical decompositions with generalized weights, show that the Dubai crude oil price retains a positive relationship and affects the US natural gas price.
