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RESEARCH PAPER
The Relationship Between Liquefied Petroleum Gas and Crude Oil Prices: A Case Study of the Polish Fuel Market
1
Department of Public Economics, Krakow University of Economics, Poland
2
Department of Econometrics and Operational Research, Krakow University of Economics, Poland
3
Doctoral School, Krakow University of Economics, Poland
Submission date: 2024-11-14
Final revision date: 2025-04-14
Acceptance date: 2025-04-25
Publication date: 2026-03-31
Corresponding author
GNPJE 2026;325(1):23-38
KEYWORDS
JEL CLASSIFICATION CODES
ABSTRACT
This study investigates the interdependence between LPG and crude oil prices by leveraging the Seasonal Auto-Regressive Integrated Moving Average time series model with exogenous variables (SARIMAX model). Three scenarios are considered, incorporating price indices for the Western Index, Eastern Index, and Total Index, which is calculated as a weighted average of the two preceding indices. The study focuses on Poland, which, during the analysed period, was heavily dependent on energy resource supplies from Russia. The findings of the econometric analysis show that: (1) there is a strong and statistically significant association between changes in oil prices and changes in gas prices for imports to Poland regardless of their source; (2) this relationship is strongest for the Western Index; (3) weekly LPG price changes adjusted for the relationship between oil and LPG prices do not exhibit a particularly long memory or seasonality; and (4) the Eastern Index is characterised by a fairly high elasticity with respect to the past (short-term) dynamics of current LPG prices. Thus, the conflict in Ukraine and the resulting decline in LPG imports from Russia are unlikely to result in long-term market instability in Poland.
FUNDING
This work was supported by Krakow University of Economics [grant POTENCJAŁ project no.: 047/GAG/2022/POT. Total funding: 37 000 PLN].
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