Investigating the dynamic relationships between shale gas production and the U.S. natural gas market

We investigated the role of the shale revolution in the dynamics in the U.S. gas market. We estimated the interactions between shale gas production and other gas market variables using a time-varying parameter VAR model. An analysis of impulse responses to a shock in shale production indicated that they varied during the period and in different ways by different variables. The magnitudes of some responses decreased at the end of the period, indicating market saturation. Our findings could be useful not only for understanding the dynamics of the U.S. gas market but also the shale oil market, the development of which shows similarities with that of natural gas.