The Dynamic Cointegration Relationship between International Crude Oil, Natural Gas, and Coal Price

Abstract

In this study, we conducted an in-depth analysis of the dynamic cointegration relationship between international crude oil, natural gas, and coal price indices from 2009 to 2023, revealing the changes and differences in the cointegration relationship between these three prices during different periods. Utilizing statistical analysis and economic modeling, we found significant cointegration among these energy prices during the initial decade-long observation period, indicating their close interaction in the global energy market influenced by supply and demand fundamentals, macroeconomic conditions, and geopolitical landscapes. However, since 2020, this long-standing stable cointegration relationship has been severely disrupted due to the global spread of the COVID-19 pandemic and escalating geopolitical tensions, leading to a notable increase in volatility and uncertainty in the energy market. Further analysis highlights that, in recent years, with the strengthening of global climate governance and the advancement of the low-carbon transition trend, fossil fuel markets, particularly high-carbon-emitting crude oil and coal markets, have undergone significant adjustments. Meanwhile, the role of natural gas as a transitional clean energy source has become increasingly prominent. The findings of this study have significant implications for energy policy formulation, market risk management, and strategic planning in the energy industry, while providing directions for future research on resilience and adaptability in the transition process of energy systems.

Keywords

• cointegration relationships
• energy security
• primary energy
• coronavirus
• Russia–Ukraine conflict