Expectations and Speculation in the US Natural Gas Market
本文用三种结构性VAR模型评估预期驱动的投机需求冲击对美国天然气实际价格的影响，发现投机需求冲击可解释约40%的价格波动，且中期预期或长短预期差异是价格上涨主因。
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.