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The end of a long term relationship between the price of crude oil and natural gas : a cointegration approach

Skjæveland, Kjartan; Thompson, Tønnes Holter
Master thesis
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URI
http://hdl.handle.net/11250/170102
Date
2013
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  • Master Thesis [3749]
Abstract
In this master thesis we explore the relationship between the natural gas

price and crude oil price in the U.S. We find that the prices have been

cointegrated in the period from 1997-2006, and that the prices have

decoupled in the period after this. We have discussed factors explaining

the historical coupling of the prices, and factors explaining why the prices

have decoupled. We argue that the main reason for decoupling is the shale

gas production boom in the U.S. We find no single main reason for the

historical cointegration relationship, but argue that this is a sum of many

different factors. Many of these based on an energy arbitrage argument.

We also discuss the future outlook for this price relationship, with special

focus on expectations about the future developments in the natural gas

market. Following this we have a discussion around the implications of

the currently low natural gas price, and high crude oil price on the

economics of gas to liquids technology in the U.S.

We

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