Financialization, fundamentals, and the time-varying determinants of US natural gas prices

摘要: Abstract Increasing empirical evidence shows that natural gas prices have decoupled from oil prices. Yet there remains an open question as to what are the determining factors of following demise oil-indexation. This paper aims address this using a dynamic model averaging (DMA) approach. DMA can help identify key/important price determinants, and importantly, does so within time varying framework allowing us document how set determinants has evolved in response key market changes. Using series data between 2001 2018, we demonstrate clear declining role pricing mechanism, verifying indexation. Market or fundamental factors, such weather, demand supply conditions, at same become more important. In addition, our results illustrate increasing financial markets, captured by speculation related variables, providing support recent literature on commodity financialization. The rising impact introduces questions over balance efficiency risk management post-indexation regime.