The Impact Of Oil Price Volatility On Regional Natural Gas Prices Based On Extreme Quantile VAR Model

With the increasingly tense energy supply situation and the progressively severe climate change,natural gas,as a form of clean energy,has become an important part of the national energy strategy,aiming at reducing carbon dioxide emissions and improving energy supply security.In recent years,the rise of shale gas revolution in North America has attracted wide attention from national natural gas producers and consumers,which may have a significant impact on the global energy market and the pattern of natural gas trade.In addition,the international oil price has experienced several typical major shocks in history,accompanied by large-scale economic fluctuations and natural gas price fluctuations.Therefore,studying the risk transmission mechanism of international oil market price shocks on regional natural gas markets will help energy traders,investors and policy makers fully understand the internal mechanism of price fluctuations in natural gas market to control the increasing risks.Against the background of the North American shale gas revolution and considering the regional characteristics of natural gas markets with inconsistent pricing mechanisms,this research investigates the dynamic relationship between international crude oil markets and the typical regional natural gas markets.Firstly,we confirm the existence of risk spillovers between oil and gas markets by using the kernel-based nonparametric method to test quantile-on-quantile Granger causality,and the extreme risks of the market are measured by the upside and downside VaR.Then,we employ the MVMQ-CAViaR model to investigate the dynamic tail-dependence patterns,and Wald test is used to analyze the risk spillover effect from international crude oil to regional natural gas market from the perspective of joint significance of two coefficients.Additionally,the performance tests we proposed highlight the accuracy of the model for the construction of VaR for natural gas markets.Finally,the quantile impulse response functions based on the quantile VAR model is used to dynamically capture the extreme risk spillover effects of oil price shocks on regional natural gas markets,and comparative analysis is conducted on the results of different quantile levels and different regional markets.The results indicate that the impact of the international crude oil market has largely affected the VaR of the regional natural gas market,and that extreme marketrisks are more likely to spread between markets than the general risks.Quantile Granger causality tests provide strong evidence for the asymmetry of extreme risk spillovers between international crude oil and regional natural gas markets,and the positive risk spillovers play a dominant role.Quantile impulse response analysis quantitatively reveals the asymmetric characteristics of the response intensity,duration and direction of regional natural gas markets to extreme positive and negative oil price shocks.In general,the shale gas revolution does affect the risk transmission mechanism from international crude oil to the regional natural gas market and exhibits time-varying characteristics.The international crude oil price shock is heterogeneous for the risk transmission mechanism of two different natural gas markets in North America and Europe.The risk transmission mechanism depends on the regional characteristics of regional natural gas markets(resource endowment and pricing mechanism)and the market environment in which it is located(such as bear markets and bull markets),and the European natural gas market is more responsive to oil price shocks than the North American market.Finally,this paper provides some policy recommendations based on the results of empirical research.