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Price Convergence in North American Natural Gas Spot Markets

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  • Marlin King
  • Milan Cuc

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.

Suggested Citation

  • Marlin King & Milan Cuc, 1996. "Price Convergence in North American Natural Gas Spot Markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 17-42.
  • Handle: RePEc:aen:journl:1996v17-02-a02
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    References listed on IDEAS

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    1. Fama, Eugene F & French, Kenneth R, 1988. " Business Cycles and the Behavior of Metals Prices," Journal of Finance, American Finance Association, vol. 43(5), pages 1075-1093, December.
    2. Lester G. Telser, 1958. "Futures Trading and the Storage of Cotton and Wheat," Journal of Political Economy, University of Chicago Press, vol. 66, pages 233-233.
    3. French, Kenneth R, 1986. "Detecting Spot Price Forecasts in Futures Prices," The Journal of Business, University of Chicago Press, vol. 59(2), pages 39-54, April.
    4. Fama, Eugene F., 1984. "Forward and spot exchange rates," Journal of Monetary Economics, Elsevier, vol. 14(3), pages 319-338, November.
    5. Serletis, Apostolos, 1991. "Rational expectations, risk and efficiency in energy futures markets," Energy Economics, Elsevier, vol. 13(2), pages 111-115, April.
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    JEL classification:

    • F0 - International Economics - - General

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