This paper replicates the analysis in the paper “What Drives Natural Gas Prices?" by Stephen P.A. Brown and Mine K. Yücel. The replication confirms the results of that analysis: a long-run relationship existed between natural-gas prices and crude-oil prices during the period from June 1997 to...

This article scrutinizes the relationship between the U.S. crude oil and natural gas prices. The relationship exhibits regime changes, which depend on technological, economic and geopolitical factors. We find that crude oil and natural gas prices decouple over two periods of about three years...

In this paper, we examine the relationship between crude oil and natural gas prices. Using smooth transition regression modelling approach, we find that both the long-run and short-run relationships between oil and gas prices are more aptly modelled by simultaneous structural breaks and...