Impulse responses in a threshold cointegrated system: the case of natural gas markets

Autor:	Thomas H. Root, Donald Lien
Rok vydání:	2003
Předmět:	Economics and Econometrics business.industry Futures market Impulse (physics) Error correction model Shock (economics) Natural gas Economics Econometrics Threshold model business Futures contract Finance Impulse response
Zdroj:	Applied Financial Economics. 13:23-35
ISSN:	1466-4305 0960-3107
DOI:	10.1080/09603100110090226
Popis:	The response of a futures contract to an exogenous shock may partially depend upon the maturity of the contract. Investigation of the speed with which the contract returns to its long run equilibrium is dependent upon the time series specification of the contract. This paper estimates generalized impulse response functions that result from exogenous shocks to a threshold error correction model of the natural gas futures market. The estimation results of the threshold model indicate that it is an appropriate model of the natural gas futures market. Therefore the calculation of impulse responses should account for both the size of the shock and the history of the series. This is accomplished via a generalized impulse response function. Calculation of the generalized impulse response functions indicates that the length of the futures contract is an important determinant of the ability of the system to return to its long run equilibrium following a shock.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::25eb4745ca92d4f7f4fde1d5cda9c278 https://doi.org/10.1080/09603100110090226 Zobrazit plný text záznamu Plný text ve formátu PDF