International Market Integration for Natural Gas?: A Cointegration Analysis of Prices in Europe, North America and Japan
AbstractWe 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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Bibliographic InfoPaper provided by DIW Berlin, German Institute for Economic Research in its series Discussion Papers of DIW Berlin with number 393.
Length: 24 p.
Date of creation: 2003
Date of revision:
Publication status: Published in: Energy Economics 27 (2005), 4, 603-615
Market Integration; gas markets; cointegration test; globalization;
Other versions of this item:
- Siliverstovs, Boriss & L'Hegaret, Guillaume & Neumann, Anne & von Hirschhausen, Christian, 2005. "International market integration for natural gas? A cointegration analysis of prices in Europe, North America and Japan," Energy Economics, Elsevier, vol. 27(4), pages 603-615, July.
- 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.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-01-05 (All new papers)
- NEP-COM-2004-01-05 (Industrial Competition)
- NEP-IFN-2004-01-05 (International Finance)
- NEP-MAC-2004-01-05 (Macroeconomics)
- NEP-RMG-2004-01-05 (Risk Management)
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