The Impact of the Unconventional Gas Supply on the Link Between Oil and Gas Prices in the US Market(PPT)

摘要

The objective of this study is to analyze the long term equilibrium price between the oil and the gas prices through a co-integration relationship between these prices in the US market. Many studies show high co-integration between the crude oil and natural gas prices in the long term. Nevertheless, in the last few years, it was noted that the two price series appear to have 'decoupled'; the co-integrating relationship does not appear to be stable through time. Until 2005, even with no direct linkage between oil prices and natural gas prices, the two tended to move together, with the prices for oil ($/bbl) and natural gas ($/mmBtu) maintaining a relatively stable ratio of around 7:1. However, as oil prices climbed from an average of $56 per barrel in 2005 to an average of $100 in 2008, the discount for natural gas relative to oil also grew to 11:1 in 2008. After 2008, the natural gas discount relative to oil widened further, as oil prices remained relatively high while growing U.S. shale gas production helped to weaken natural gas prices. The oil-to-gas price ratio grew to an average of more than 35:1 in 2012, with a Btu of crude oil selling for more than five times the price for a Btu of natural gas. In EIA's Annual Energy Outlook 2013 Reference case, the U.S. price differential narrows gradually to in increasing ratio in 2040, as shale gas production moves to more expensive and difficult-to-produce resources and natural gas prices rise. In our study, we try to explore the apparent contradiction between the short and long term co-integration of the oil and the gas prices in the US market. Furthermore, we will point out the impact of the new production from the shale gas on this relationship which includes several structural breaks.