What Drives Natural Gas Prices? Stephen Brown and Mine Yücel Federal Reserve Bank of Dallas.

Slides:

Advertisements

Similar presentations

Petroleum and Natural Gas Outlook Briefing for the National Association of State Energy Officials 2005 Energy Outlook Conference Washington, DC Mike Burdette.

Advertisements

EIA Outlook for U.S. Heating Fuels State Heating Oil and Propane Program Conference North Falmouth, Massachusetts Laurie Falter Industry Economist Energy.

Energy Prices and the Economy Stephen Brown Federal Reserve Bank of Dallas.

Short-Term and Winter Fuels Outlook Guy F. Caruso Administrator Energy Information Administration New York Energy Forum New York, NY October 16,

The Weak Tie Between Natural Gas and Oil Prices 30 th USAEE/IAEE North American Conference October 12, 2011 David Ramberg, MIT Engineering Systems Division.

2004/05 Winter Energy Market Assessment November 18, 2004 Federal Energy Regulatory Commission Office of Market Oversight and Investigations Disclaimer:

Causes and Anticipated Impacts of Rising Natural Gas Prices Bob Gray, Arizona Corporation Commission

CBIA EPC New England Energy Supply Outlook Thomas Santa Santa Energy Corporation October 18 th,

1 Multiple Regression Response, Y (numerical) Explanatory variables, X 1, X 2, …X k (numerical) New explanatory variables can be created from existing.

Modeling & Forecasting US Electricity Consumption Prepared for 30 th USAEE North American Conference, Washington DC By Mark Hutson, PhD Candidate & Prof.

Annual Energy Outlook 2015 For Columbia University

James M. Kendell Energy Information Administration The Aspen Institute June 28, 2008 Aspen, Colorado Global Gas Outlook.

WORLD OIL AND NORTH AMERICAN NATURAL GAS OUTLOOK November 2006.

Natural Gas Outlook National Association of State Energy Officials State Heating Oil and Propane Conference August 30, 2004 William Trapmann Energy Information.

© IFP OIL MARKET VOLATILITY : AN ECONOMETRIC ANALYSIS OF THE INTERACTIONS BETWEEN THE CRUDE OIL MARKET, THE GAS OIL AND THE GASOLINE MARKETS Frederic LANTZ,

BY: Grace Ownbey Grace Ownbey. Motivation  Helps energy companies save $$$  To help consumers see if they are paying more money for the same amount.

Jet Fuel Supply/Price Outlook: Fueling the Recovery Energy Information Administration Presentation to 4th International Jet Fuel Conference February 11,

Crude Oil, Heating Oil, and Propane Outlook Briefing for the State Heating Oil and Propane Program Conference Asheville, NC Mike Burdette Petroleum Division,

Federal Energy Regulatory Commission Summer 2005 Energy Price Review: Gulf Coast Storms Exacerbate Tight Natural Gas Supplies; Already High Prices Driven.

U.S. Energy Information Administration Independent Statistics & Analysis Short-Term Energy Outlook and Winter Fuels Outlook For NASEO Winter.

SHORT - TERM NATURAL GAS OUTLOOK National Association of State Energy Officials State Heating Oil and Propane Conference August 7, 2006 Barbara Mariner-Volpe,

Federal Energy Regulatory Commission Winter Natural Gas Market Update Item No.: A-3 January 19, 2006.

ISM Mid-winter Conference Short Term Perspectives for Natural Gas February 2006 knowledge to bridge the gap.

© 2008 ICF International. All rights reserved. NYSERDA Case 1 Results June 24, 2009 Contacts: Kevin R. Petak ( ) Vice President, Gas Market.

© 2008 ICF International. All rights reserved. New York Gas Market Overview Based on NYSERDA Case 1 (n0908) March 2009 Contacts: Kevin R. Petak (

Development of a Macro Editing Approach Work Session on Statistical Data Editing, Topic v: Editing based on results April 2008 WP 30.

General Motors Real Estate & Facilities planning and building for GM’s future Al Hildreth – GM Energy Baseline, Page 1 Baseline Energy Method Using EPA.

Regulatory Responses to Natural Gas Price Volatility Commissioner Donald L. Mason, Esq. Vice-Chairman of NARUC Gas Committee Vice Chairman or the IOGCC.

Copyright © 2008 Pearson Addison-Wesley. All rights reserved. Chapter 9 Competitive Markets.

2007 Planning Long-Term Hourly Demand and Energy Forecast Board of Directors Meeting May 16, 2007 Bill Bojorquez.

Determinants of the velocity of money, the case of Romanian economy Dissertation Paper Student: Moinescu Bogdan Supervisor: Phd. Professor Moisă Altăr.

Richard Newell, NASEO Winter Fuels Conference, October NASEO 2010 Winter Fuels Outlook Conference October 13, 2010 Washington, DC Richard Newell,

Macroeconomic Outlook 10 th Annual Waterways Symposium October 1-3, 2013.

ERCOT Long-Term Demand and Energy Forecasting February 20, 2007 Bill Bojorquez.

NARUC Natural Gas Committee New York City July 17, 2007 David Sweet – Executive Director World Alliance for Decentralized Energy (WADE) Edinburgh, Washington,

Bringing Energy Into the Classroom Robert K. Kaufmann Boston University August 11, 2014

Northwest Power and Conservation Council Reviewing the Fifth Power Plan Energy Price Assumptions Natural Gas Advisory Committee December 5, 2006.

1 Winter Outlook Heating season Natural gas at low end of rising commodity tide Commodity price changes since January Source: CME Group,

ENERGY UNITBTU CONTENT 1 barrel (42 gallons) of crude oil5,800,000 Btu 1 gallon of gasoline124,238 Btu (based on U.S. consumption, 2008) 1 gallon of diesel.

Market Arbitrage: European and North American Natural Gas Prices 2009 IAEE European Conference Mine Yücel Federal Reserve Bank of Dallas Stephen Brown.

Natural Gas Outlook North American Energy Standards Board (NAESB) Annual Meeting September 17, 2003 Barbara Mariner-Volpe, Energy Information Administration.

LNG North American Summit 2008 Houston, Texas June 19, 2008 James M. Kendell Energy Information Administration U.S. Natural Gas.

Natural Gas Update: EIA NARUC Winter Meeting Barbara Mariner-Volpe, Energy Information Administration February 23, 2003.

Energy Information Adminisration’s Outlook On Natural Gas Arkansas Public Service Commission “The Future Supply And Price of Natural Gas” June 3, 2003.

Natural Gas: Summer 2005 Steve Harvey FERC July 25, 2005 Federal Energy Regulatory Commission.

Winter Outlook Markets Matter WINTER OUTLOOK |  Represents major producers and suppliers of domestic natural gas Integrated and.

Examining Natural Gas Markets C HRIS M C G ILL M ANAGING D IRECTOR, P OLICY A NALYSIS M ARCH 5, 2008.

Crude Oil, Heating Oil, and Propane Market Outlook Briefing for the State Heating Oil and Propane Program Conference Kennebunkport, ME by Douglas MacIntyre.

IOGCC 2003 Outlook for Natural Gas & Petroleum Guy Caruso Administrator Energy Information Administration IOGCC Conference Williamsburg, Virginia May 19,

Natural Gas Data Collection and Estimation Oklahoma Independent Petroleum Association June 6, 2010 Dallas, Texas James Kendell, Director, Natural Gas Division.

Short-Term Energy Outlook, October 2007 DOE/NASEO 2007/08 Winter Fuels Outlook Conference October 9, 2007 Washington, DC Guy F. Caruso Administrator, Energy.

Impact of New Waves of LNG in the Asia Pacific Gas Market: Future of LNG Market in Asia Jinseok Sung Gubkin Russian State University of Oil and Gas Department.

Weather, Energy, and Insurance Derivatives Chapter 25 Options, Futures, and Other Derivatives, 7th International Edition, Copyright © John C. Hull

1 Regression-based Approach for Calculating CBL Dr. Sunil Maheshwari Dominion Virginia Power.

Winter Distillate Outlook Joanne Shore Energy Information Administration PPMCSA Annual Meeting & Trade Show September 2000.

CSG/ERC 44 th Annual Meeting Springfield, MA Douglas MacIntyre, Senior Oil Market Analyst Petroleum Division U.S. Energy Information Administration August.

Crude Oil, Heating Oil, and Propane Market Outlook Briefing for the State Heating Oil and Propane Program Conference Wilmington, DE by Douglas MacIntyre.

U.S. Energy Information Administration Independent Statistics & Analysis Energy Markets Outlook for Center for Strategic & International Studies.

Natural Gas Outlook The Tennessee Regulatory Authority Natural Gas Symposium August 19, 2003 Roy Kass Energy Information Administration (EIA)

Peaks, Plans and (Persnickety) Prices Gas Storage: Finance, Investment, and Strategy Summit October 19, 2010 Houston, Texas James M. Kendell, Director.

History and Outlook for Gasoline Prices Energy Policy Forum to Discuss “Possible Solutions to High Gas Prices” Moderated by Congressman Jim Gerlach Doug.

Title Kevin Harris, ColumbiaGrid. Overview Historic Gas Prices Forward NG Prices Coal Prices 2.

1 R ICE U NIVERSITY The Relationship between Crude Oil and Natural Gas Prices Peter Hartley Kenneth Medlock III Jennifer Rosthal James A. Baker III Institute.

1 Returns in commodities futures markets and financial speculation: a multivariate GARCH approach Joint with Matteo Manera and Ilaria Vignati Università.

U.S. Energy Information Administration Independent Statistics & Analysis North American Energy Markets for Energy Mexico 2016 January 26, 2016|

Asymmetries in Forecasting Energy Product Prices APF Conference, Deutsche Bundesbank Frankfurt, Germany 2004 M. E. Malliaris Loyola University Chicago.

Residential Energy 2017: Fuel Prices, Heating, and Cooling

Earth Energy Advisors Weekly Energy Report –

David Givens Sreekanth Venkataraman

David Givens Sreekanth Venkataraman

Presentation transcript:

What Drives Natural Gas Prices? Stephen Brown and Mine Yücel Federal Reserve Bank of Dallas

Natural Gas and Oil Prices

Pricing Rules of Thumb Do Oil Prices Matter?

Some Pricing Rules 10-to-1: Henry Hub price is 0.1P WTI 6-to-1: Henry Hub price is P WTI Burner-tip parity: Henry Hub price is P WTI Based on competition with residual fuel oil

Old Rules of Thumb to 1 Rule 6 to 1 Rule Actual Spot $/MMBtu

Burner-Tip Parity Burner-Tip Parity Actual Spot $/MMBtu

Looking Beyond Pricing Rules of Thumb

Other Factors Weather Seasonality Storage Production Disruptions

U.S. Natural Gas Production

Natural Gas Storage Year Seasonal Average Billion cubic feet 5-Year Maximum 5-Year Minimum

Natural Gas Storage Gas in Storage 5-Year Seasonal Average Projected Storage Billion cubic feet 5-Year Maximum 5-Year Minimum

Econometric Modeling Investigate the influence of –WTI –Weather –Seasonality –storage –production disruptions on natural gas prices.

Variables Price of HH Price of WTI Heating Degree Days Deviations from normal HDD Cooling Degree Days Deviations from CDD Storage Differential Shut in production

Results (1) Crude oil and natural gas prices move together in the long run Changes in crude oil prices lead changes in natural gas prices If the two prices move away from each other, relationship restored in 19 weeks

Results (2) Significant variables: +Price of crude oil +Heating degree days +HDD deviation from normal +CDD deviation from normal -Storage differential from seasonal norm +Shut-in production

Natural Gas Price Brown-Yücel Model

$/MMBtu Natural Gas Price Outlook Actual Spot Price Futures Price, Nov 15 Long Run Relationship with Oil Long-Term Outlook

Natural gas price outlook

Conclusion Simple rules of thumb don’t explain natural gas prices well Natural gas prices not decoupled from oil –anchored to oil prices in the long run –Short run dynamics depend on other variables such as weather, storage and production disruptions Linkage likely to continue

What Drives Natural Gas Prices? Stephen Brown and Mine Yücel Federal Reserve Bank of Dallas