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.

中文翻译：

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重新审视原油和天然气价格关系：时变机制转换模型的证据

在本文中，我们重新审视原油和天然气价格之间的关系。使用更灵活的建模方法，我们发现这两个价格之间的关系比之前记录的更复杂。具体来说，我们发现短期和长期关系都是高度非线性的，并且随着时间的推移会发生很大的变化。 2011 年之后，石油价格对天然气价格的影响显着下降，波动性也较小。我们还发现，天然气价格对供求条件的短期反应出现了显着的转变和非线性。总体而言，我们的结果表明天然气价格并未与原油价格脱钩，即两种价格之间的长期均衡关系并未完全打破，而是上升到了一个新的水平。