The increase in liquefied natural gas trade has accelerated the integration of previously segmented markets in North America, Europe, and Asia. This paper provides evidence on the integration of the transatlantic natural gas market. We test the theoretical proposition that in integrating markets commodity prices should move closer than before. Using 2,059 pairs of daily spot prices for natural gas in North America and Europe we investigate price dynamics covering the period from 1999 until 2008. We apply the Kalman Filter technique to gain detailed information on trends inherent over time. Results suggest an increasing convergence of spot prices on either side of the Atlantic Basin.
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Paper provided by DIW Berlin, German Institute for Economic Research in its series Discussion Papers of DIW Berlin with number
822.
Length: 12 p. Date of creation: 2008 Date of revision: Publication status: Published in: The Energy Journal 30 (2009), Special Issue, 187-200 Handle: RePEc:diw:diwwpp:dp822
Find related papers by JEL classification: L95 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Gas Utilities; Pipelines; Water Utilities Q49 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Other F15 - International Economics - - Trade - - - Economic Integration
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