Data for: Is hub-based pricing a better choice than oil indexation for natural gas? Evidence from a multiple bubble test

Published: 26 April 2021| Version 1 | DOI: 10.17632/cbrvm5zmrb.1
Contributors:
Dayong Zhang,
Tiantian Wang,
Xunpeng Shi

Description

All data are collected from World Bank commodity price data (the Pink Sheet). They are in monthly frequency from January 1982 to October 2017. Oil prices are denominated in nominal US dollars per barrel, and natural gas prices are in dollars per MMBtu (millions of British thermal units). For oil, we look at WTI and Brent prices, whereas for natural gas price, we use the Henry Hub Louisiana spot price for the US, LNG import prices (CIF) is used for Japan, and average import border prices and a spot price component are used for Europe (in this data, the UK price is excluded between June 2000 and March 2010). Data in Excel format is attached. The GSADF test was performed in Eviews with add-in package "Right Tailed ADF Tests" developed by Caspi, I. (2017). Reference Caspi, I., 2017. Rtadf: Testing for Bubbles with Eviews. Journal of Statistical Software 81, Code Snippet 1. doi: 10.18637/jss.v081.c01.

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