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Is There an East-West Split in North American Natural Gas Markets?

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  • Apostolos Serletis

Abstract

This paper presents evidence concerning shared stochastic trends in North American natural gas (spot) markets, using monthly data for the period that natural gas has been traded on organized exchanges (from June, 1990 to January, 1996). In doing so, it uses the Engle and Granger (1987) approach for estimating bivariate cointegrating relationships as well as Johansen's (1988) maximum likelihood approach for estimating cointegrating relationships in multivariate vector autoregressive models. The results indicate that the east-west split does not exist.

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Bibliographic Info

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

Volume (Year): Volume18 (1997)
Issue (Month): Number 1 ()
Pages: 47-62

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Handle: RePEc:aen:journl:1997v18-01-a02

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References

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  1. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
  2. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  3. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
  4. Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233.
  5. Pantula, Sastry G & Gonzalez-Farias, Graciela & Fuller, Wayne A, 1994. "A Comparison of Unit-Root Test Criteria," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 449-59, October.
  6. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
  7. MacKinnon, James G, 1994. "Approximate Asymptotic Distribution Functions for Unit-Root and Cointegration Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(2), pages 167-76, April.
  8. Serletis, Apostolos, 1994. "A cointegration analysis of petroleum futures prices," Energy Economics, Elsevier, vol. 16(2), pages 93-97, April.
  9. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
  10. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
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Cited by:
  1. 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.
  2. Guillaume L¿Hégaret & Boriss Siliverstovs & Anne Neumann & Christian von Hirschhausen, 2003. "International Market Integration for Natural Gas?: A Cointegration Analysis of Prices in Europe, North America and Japan," Discussion Papers of DIW Berlin 393, DIW Berlin, German Institute for Economic Research.
  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. Growitsch, Christian & Stronzik, Marcus & Nepal, Rabindra, 2012. "Price convergence and information efficiency in German natural gas markets," EWI Working Papers 2012-5, Energiewirtschaftliches Institut an der Universitaet zu Koeln.
  6. Lin, Xiaoqiang & Tang, Zhenpeng & Fei, Fangyu, 2013. "Testing for relationships between Shanghai and Shenzhen stock markets: A threshold cointegration perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(18), pages 4064-4074.
  7. Serletis, Apostolos & Herbert, John, 1999. "The message in North American energy prices," Energy Economics, Elsevier, vol. 21(5), pages 471-483, October.
  8. 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.
  9. Anne Neumann, 2009. "Linking Natural Gas Markets - Is LNG Doing its Job?," The Energy Journal, International Association for Energy Economics, vol. 0(Special I), pages 187-200.

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