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Price Convergence in North American Natural Gas Spot Markets

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  • Marlin King
  • Milan Cuc
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    Abstract

    In this paper we apply time-varying parameter (Kalman Filter) analysis to measure the degree of price convergence in North American natural gas spot markets. This statistical approach allows for an assessment of the strength of price convergence across various gas-producing basins. It is also a technique better suited than cointegration analysis because of the explicit presence of time varying parameters. Our results indicate that price convergence in natural gas spot markets has increased significantly since the price deregulation of the mid1980s. However, results to date indicate that there is still some way to go before one can speak of a single North American market for natural gas.

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    Bibliographic Info

    Article provided by International Association for Energy Economics in its journal The Energy Journal.

    Volume (Year): Volume17 (1996)
    Issue (Month): Number 2 ()
    Pages: 17-42

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    Handle: RePEc:aen:journl:1996v17-02-a02

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    Cited by:
    1. Guillaume L'Hegaret & Boriss Siliverstovs & Christian von Hirschhausen, 2004. "International Market Integration for Natural Gas? A Cointegration Analysis of Prices in Europe, North America and Japan," Working Papers 0402, Massachusetts Institute of Technology, Center for Energy and Environmental Policy Research.
    2. Arano, Kathleen G. & Blair, Benjamin F., 2008. "An ex-post welfare analysis of natural gas regulation in the industrial sector," Energy Economics, Elsevier, vol. 30(3), pages 789-806, May.
    3. Anthony Bopp, 2000. "Daily price adjustments in the U.S. market for natural gas," Atlantic Economic Journal, International Atlantic Economic Society, vol. 28(2), pages 254-265, June.
    4. Chermak, Janie M., 1998. "Order 636 and the U.S. natural gas industry," Resources Policy, Elsevier, vol. 24(4), pages 207-216, December.
    5. Neumann, Anne & Siliverstovs, Boriss, 2005. "Convergence of European Spot Market Prices for Natural Gas? A Real-Time Analysis of Market Integration using the Kalman Filter," Dresden Discussion Paper Series in Economics 05/05, Dresden University of Technology, Faculty of Business and Economics, Department of Economics.
    6. Park, Haesun & Mjelde, James W. & Bessler, David A., 2008. "Price interactions and discovery among natural gas spot markets in North America," Energy Policy, Elsevier, vol. 36(1), pages 290-302, January.
    7. Serletis, Apostolos & Herbert, John, 1999. "The message in North American energy prices," Energy Economics, Elsevier, vol. 21(5), pages 471-483, October.
    8. Juris, Andrej, 1998. "Development of natural gas and pipeline capacity markets in the United States," Policy Research Working Paper Series 1897, The World Bank.
    9. De Vany, Arthur S. & Walls, W. David, 1999. "Cointegration analysis of spot electricity prices: insights on transmission efficiency in the western US," Energy Economics, Elsevier, vol. 21(5), pages 435-448, October.
    10. Mohammadi, Hassan, 2011. "Market integration and price transmission in the U.S. natural gas market: From the wellhead to end use markets," Energy Economics, Elsevier, vol. 33(2), pages 227-235, March.
    11. Arano, Kathleen & Velikova, Marieta, 2010. "Estimating the long-run equilibrium relationship: The case of city-gate and residential natural gas prices," Energy Economics, Elsevier, vol. 32(4), pages 901-907, July.
    12. Nazifi, Fatemeh, 2013. "Modelling the price spread between EUA and CER carbon prices," Energy Policy, Elsevier, vol. 56(C), pages 434-445.
    13. Robinson, Terry, 2007. "Have European gas prices converged?," Energy Policy, Elsevier, vol. 35(4), pages 2347-2351, April.
    14. Woo, Chi-Keung & Horowitz, Ira & Olson, Arne & Horii, Brian & Baskette, Carmen, 2006. "Efficient frontiers for electricity procurement by an LDC with multiple purchase options," Omega, Elsevier, vol. 34(1), pages 70-80, January.

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