Linkage among the U.S. Energy Futures Markets

This study tests the price linkage among the U.S. major energy sources, considering structural breaks in time series. We use the Johansen cointegration method and find that only weak linkage sustains among the NYMEX WTI crude oil, Brent crude oil, gasoline, heating oil, coal, natural gas, uranium, and ethanol futures prices. Our tests reveal that the uranium and ethanol futures prices have very weak linkage with other U.S. major energy source prices. This indicates that the U.S. energy market is still at a stage where none of the probable alternative energy source markets are playing the role as a substitute or a complement market for the fossil fuel energy markets and that the U.S. major energy source markets are not integrated as one primary energy market