Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/32004
Title: Expectations and speculation in the US natural gas market
Authors: Anderl, C
Caporale, GM
Keywords: natural gas price;expectations;speculation;inventories;functional shocks;structural VAR (SVAR)
Issue Date: 24-Sep-2025
Citation: Anderl, C. and Caporale, G.M. (2025) 'Expectations and speculation in the US natural gas market', International Journal of Finance and Economics, 0 (ahead of print), pp. 1 - 16. doi: 10.1002/ijfe.70067.
Abstract: This paper aims to assess the role of expectations as a determinant of the real price of natural gas in the US. Three specifications of a structural VAR (SVAR) model are estimated to identify an expectations-driven speculative demand shock. The first includes natural gas inventories, consistently with the theory of storage; the second the risk-adjusted futures spread; the third functional shocks defined as shifts in the entire risk-adjusted natural gas futures term structure. The results of the third model suggest that speculative demand shocks have sizeable effects on the real price of natural gas. A shock decomposition exercise shows that increases in the price of natural gas are driven primarily by changes in the curvature of its futures term structure, which indicates that medium-term expectations or large differences between short- and long-term expectations are the main determinant of increases in the spot price of natural gas. It appears that speculative demand shocks are most relevant for the price of natural gas in the model with functional shocks, where they account for around 40% of its variation.
Description: Data Availability Statement: The data that support the findings of this study are openly available in the US Energy Information Authority at https://www.eia.gov .
Classification(s): JEL: D84, G15, Q41, Q43.
URI: https://bura.brunel.ac.uk/handle/2438/32004
DOI: https://doi.org/10.1002/ijfe.70067
ISSN: 1076-9307
Other Identifiers: ORCiD: Christina Anderl https://orcid.org/0000-0001-6770-6698
ORCiD: Guglielmo Maria Caporale https://orcid.org/0000-0002-0144-4135
Appears in Collections:Dept of Economics and Finance Research Papers

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