Title: Natural gas and crude: evidence of nonlinear co-integration from Indian commodities market

Authors: Rakesh Shahani; Ankita Kumari Sharma; Govind Chhugani

Addresses: Department of Business Economics, Dr. Bhim Rao Ambedkar College, University of Delhi, India ' Department of Business Economics, Dr. Bhim Rao Ambedkar College, University of Delhi, India ' Department of Business Economics, Dr. Bhim Rao Ambedkar College, University of Delhi, India

Abstract: The study investigates for India the co-integrating relation between two-energy commodities viz. natural gas and crude for the period 1 April 2017-31 March 2022. The study results from both the models, ARDL (with structural break) and NARDL, revealed that long run co-integration was established only for natural gas while the same was not the case for crude. The elasticity of natural gas with respect to crude was found to be inelastic in short and highly elastic in long run. The long-run asymmetric impact of crude on natural gas was seen only at 10% level with no asymmetry seen in short-run results. Error correction term (ECM) for natural gas was negative and significant reflecting that movement from short run disequilibrium to long run equilibrium was stable, however speed of adjustment was at 3% per period. Model diagnostics were found to be satisfactory.

Keywords: natural gas; crude; ARDL; NARDL; structural break; asymmetry; co-integration.

DOI: 10.1504/IJEGN.2023.135298

International Journal of the Energy-Growth Nexus, 2023 Vol.1 No.1, pp.40 - 62

Received: 14 Apr 2023
Accepted: 17 Apr 2023
Published online: 04 Dec 2023 *