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Price Convergence and Information Efficiency in German Natural Gas Markets

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Listed:
  • Christian Growitsch
  • Marcus Stronzik
  • Rabindra Nepal

Abstract

type="main" xml:id="geer12034-abs-0001"> In 2007, Germany changed network access regulation in the natural gas sector and introduced a so-called entry–exit system. The spot market effects of the reregulation remain to be examined. We use cointegration analysis and a state space model with time-varying coefficients to study the development of natural gas spot prices in the two major trading hubs in Germany and the interlinked spot market in the Netherlands. To analyse information efficiency in more detail, the state space model is extended to an error correction model. Overall, our results suggest a reasonable degree of price convergence between the corresponding hubs. Market efficiency in terms of information processing has increased considerably among Germany and the Netherlands.

Suggested Citation

  • Christian Growitsch & Marcus Stronzik & Rabindra Nepal, 2015. "Price Convergence and Information Efficiency in German Natural Gas Markets," German Economic Review, Verein für Socialpolitik, vol. 16(1), pages 87-103, February.
    • Handle: RePEc:bla:germec:v:16:y:2015:i:1:p:87-103
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    File URL: http://hdl.handle.net/10.1111/geer.2015.16.issue-1
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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • L95 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Gas Utilities; Pipelines; Water Utilities

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