Abstract : Due to the change of market condition such as shale gas development, the decoupling among international crude oil prices and natural gas prices is observed unlike the basic coupling relationship in the past. We analyzed this decoupling phase through cointegration analysis and error correction model. In particular, we used Henry Hub price as explanatory variable which shows independent movements from oil prices to investigate the relationship among natural gas prices. As results, we found the long-run relationships between oil prices and the gas prices of the U.K., Europe, and Asia except the U.S. We also found that Henry Hub price affects the other three natural gas prices. For Asian Japan LNG price, we found that Dubai and Henry Hub prices play opposite role in the long-run equilibrium so that careful approach will be needed when establishing the price formula for natural gas.
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