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International Market Integration for Natural Gas?: A Cointegration Analysis of Prices in Europe, North America and Japan

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Author Info
Guillaume L¿Hégaret
Boriss Siliverstovs
Anne Neumann
Christian von Hirschhausen

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Abstract

We examine the degree of natural gas market integration in Europe, North America and Japan, between the mid 1990's and 2002. The relationship between the international gas marker prices, and their relation to the oil price, are investigated through principal component analysis and Johansen likelihood-based procedures. Both of them show a high level of integration within the European/Japanese and North American markets; but they also show that the European resp. Japanese and the North American markets were not integrated.

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Publisher Info
Paper provided by DIW Berlin, German Institute for Economic Research in its series Discussion Papers of DIW Berlin with number 393.

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Length: 24 p.
Date of creation: 2003
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Publication status: Published in: Energy Economics 27 (2005), 4, 603-615
Handle: RePEc:diw:diwwpp:dp393

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Related research
Keywords: Market Integration; gas markets; cointegration test; globalization;

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Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
D43 - Microeconomics - - Market Structure and Pricing - - - Oligopoly and Other Forms of Market Imperfection
L95 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Gas Utilities; Pipelines; Water Utilities
Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Serletis, Apostolos & Herbert, John, 1999. "The message in North American energy prices," Energy Economics, Elsevier, vol. 21(5), pages 471-483, October. [Downloadable!] (restricted)
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  2. Asche, Frank & Osmundsen, Petter & Tveteras, Ragnar, 2002. "European market integration for gas? Volume flexibility and political risk," Energy Economics, Elsevier, vol. 24(3), pages 249-265, May. [Downloadable!] (restricted)
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  3. 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. [Downloadable!] (restricted)
  4. Martin King & Milan Cuc, 1996. "Price Convergence in North American Natural Gas Spot Markets," The Energy Journal, International Association for Energy Economics, vol. 17(2), pages 17-42.
  5. Serletis, Apostolos, 1997. "Is there an East-West split in North-American natural gas markets?," MPRA Paper 1746, University Library of Munich, Germany. [Downloadable!]
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  6. 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.
  7. Katarina Juselius & David F. Hendry, 2000. "Explaining Cointegration Analysis: Part II," Discussion Papers 00-20, University of Copenhagen. Department of Economics. [Downloadable!]
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Oberndorfer, Ulrich, 2008. "Returns and Volatility of Eurozone Energy Stocks," ZEW Discussion Papers 08-017, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
  2. repec:mop:credwp:05.01.55 is not listed on IDEAS
  3. repec:mop:credwp:05.04.56 is not listed on IDEAS
  4. Anne Neumann & Boriss Siliverstovs & Christian von Hirschhausen, 2006. "Convergence of European spot market prices for natural gas? A real-time analysis of market integration using the Kalman Filter," Applied Economics Letters, Taylor and Francis Journals, vol. 13(11), pages 727-732, September. [Downloadable!] (restricted)
  5. Finn Roar Aune, Knut Einar Rosendahl and Eirik Lund Sagen, 2008. "Globalisation of natural gas markets – effects on prices and trade patterns," Discussion Papers 559, Research Department of Statistics Norway. [Downloadable!]
  6. Anne Neumann, 2008. "Linking Natural Gas Markets: Is LNG Doing Its Job?," Discussion Papers of DIW Berlin 822, DIW Berlin, German Institute for Economic Research. [Downloadable!]
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  7. Knut Einar Rosendahl and Eirik Lund Sagen, 2007. "The Global Natural Gas Market. Will transport cost reductions lead to lower prices?," Discussion Papers 523, Research Department of Statistics Norway. [Downloadable!]
    Other versions:
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