Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
In this paper, we re-examine the relationship between crude oil and natural gas prices. Using a more flexible modelling approach, we find that the relationship between these two prices are more complex than previously documented. Specifically, we find that both the short-run and long-run relationships are highly nonlinear and shifted considerably over time. The effects of oil prices on gas prices fell significantly and became less volatile after 2011. We also find a significant shift and nonlinearity in the short-run response of gas prices to demand and supply conditions. Overall, our results imply that the natural gas prices did not decouple from crude oil prices in the sense that the long-run equilibrium relationship between the two prices did not break completely, but instead moved to a new level.