Linking Natural Gas Markets - Is LNG Doing its Job?
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; it thus complements other papers in the EMF 23 study that focus on prices and international natural gas trade. 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 which measures convergence by allowing for dynamic structural change to gain detailed information on trends inherent in prices over time. Results suggest an increasing convergence of spot prices on either side of the Atlantic Basin.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): Volume 30 (2009)
Issue (Month): Special Issue ()
|Contact details of provider:|| Postal: 28790 Chagrin Blvd Ste 350, Cleveland, OH 44122, USA|
Web page: http://www.iaee.org
More information through EDIRC
|Order Information:||Web: http://www.iaee.org/en/publications/ejsearch.aspx|
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.:
- John Cuddington & Zhongmin Wang, 2006. "Assessing the Degree of Spot Market Integration for U.S. Natural Gas: Evidence from Daily Price Data," Journal of Regulatory Economics, Springer, vol. 29(2), pages 195-210, 03.
- Apostolos Serletis & Ricardo Rangel-Ruiz, 2007.
"Testing for Common Features in North American Energy Markets,"
World Scientific Book Chapters,in: Quantitative And Empirical Analysis Of Energy Markets, chapter 14, pages 172-187
World Scientific Publishing Co. Pte. Ltd..
- Serletis, Apostolos & Rangel-Ruiz, Ricardo, 2004. "Testing for common features in North American energy markets," Energy Economics, Elsevier, vol. 26(3), pages 401-414, May.
- 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¿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.
- 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.
- Stephen P. A. Brown & Mine K. Yucel, 2008. "What Drives Natural Gas Prices?," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 45-60.
- Brown, Stephen P. A. & Yücel, Mine K., 2007. "What drives natural gas prices?," Working Papers 0703, Federal Reserve Bank of Dallas.
- Frank Asche, Petter Osmundsen, Ragnar Tveteras, 2001. "Market integration for natural gas in Europe," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 16(4), pages 300-312.
- 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.
- Frank Asche & Petter Osmundsen & Ragnar TveterÃ¥s, 2000. "European Market Integration for Gas? Volume Flexibility and Political Risk," CESifo Working Paper Series 358, CESifo Group Munich.
- Apostolos Serletis, 1997. "Is There an East-West Split in North American Natural Gas Markets?," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1), pages 47-62.
- Serletis, Apostolos, 1997. "Is there an East-West split in North-American natural gas markets?," MPRA Paper 1746, University Library of Munich, Germany.
- 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 & Francis Journals, vol. 13(11), pages 727-732.
- Neumann, Anne & Siliverstovs, Boriss, 2005. "Convergence of European Spot Market Prices for Natural Gas? A Real-Time Analysis of Market Integration using the Kalman Filter," Dresden Discussion Paper Series in Economics 05/05, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics.
- Hall, S G & Robertson, D & Wickens, M R, 1992. "Measuring Convergence of the EC Economies," The Manchester School of Economic & Social Studies, University of Manchester, vol. 60(0), pages 99-111, Supplemen.
- Peter R. Hartley & Kenneth B Medlock III & Jennifer E. Rosthal, 2008. "The Relationship of Natural Gas to Oil Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 47-66.
- Panagiotidis, Theodore & Rutledge, Emilie, 2007. "Oil and gas markets in the UK: Evidence from a cointegrating approach," Energy Economics, Elsevier, vol. 29(2), pages 329-347, March. Full references (including those not matched with items on IDEAS)