Testing for common features in North American energy markets

Using recent advances in the field of applied econometrics, we explore the strength of shared trends and shared cycles between North American natural gas and crude oil markets. In doing so, we use daily data from January 1991 to April 2001 on spot U.S. Henry Hub natural gas and WTI crude oil prices. The results show that there has been 'decoupling' of the prices of these two sources of energy as a result of oil and gas deregulation in the United States. We also investigate the interconnectedness of North American natural gas markets and find that North American natural gas prices are largely defined by the U.S. Henry Hub price trends. (C) 2004 Elsevier B.V. All rights reserved.