Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
We investigate the interplay between energy prices and drilling activities in the United States and how this relationship has evolved due to the shale revolution. We hypothesize that (1) there exists significant information spillover between drilling activities and energy prices; (2) the amount of information transmitted between drilling activities and energy prices has increased since the shale boom; (3) natural gas market is increasingly important information transmitter since the rise of unconventional oil and gas production. Using connectedness indexes constructed based on vector autoregressive models and data from 1997 to 2019, we find support for all three hypotheses. In particular, the linkage between drilling activities, measured by active rotary rigs in operation, and oil and gas prices in the US has strengthened since 2012. Oil and gas drilling activities have become more responsive to price variations during the shale revolution. However, the information transmitted from oil prices to rig count declined when oil prices fluctuated in a relatively stable range toward the end of the sample period. In contrast, the information transmitted from gas prices to gas rig counts has increased during the same time frame.