International market integration for natural gas? A cointegration analysis of prices in Europe, North America and Japan
We examine the degree of natural gas market integration in Europe, North America and Japan, between the mid 1990’s and 2002. Our hypothesis is that there was a certain split of prices between Europe and North America. 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 and that the European/ Japanese and the North American markets are connected to a much lesser extent.
(This abstract was borrowed from another version of this item.)
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.:
- Engle, Robert & Granger, Clive, 2015.
"Co-integration and error correction: Representation, estimation, and testing,"
Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-276, March.
- Pinelopi Koujianou Goldberg & Michael M. Knetter, 1997. "Goods Prices and Exchange Rates: What Have We Learned?," Journal of Economic Literature, American Economic Association, vol. 35(3), pages 1243-1272, September.
- Pinelopi K. Goldberg & Michael M. Knetter, 1996. "Goods Prices and Exchange Rates: What Have We Learned?," NBER Working Papers 5862, National Bureau of Economic Research, Inc.
- Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February.
- James T. Jensen, 2003. "The LNG Revolution," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 1-45.
- Apostolos Serletis & John Herbert, 2007. "The Message in North American Energy Prices," World Scientific Book Chapters,in: Quantitative And Empirical Analysis Of Energy Markets, chapter 13, pages 156-171 World Scientific Publishing Co. Pte. Ltd..
- Serletis, Apostolos & Herbert, John, 1999. "The message in North American energy prices," Energy Economics, Elsevier, vol. 21(5), pages 471-483, October.
- 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 Tveterås, 2000. "European Market Integration for Gas? Volume Flexibility and Political Risk," CESifo Working Paper Series 358, CESifo Group Munich.
- 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.
- Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233.
- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, April.
- 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.
- Pantula, Sastry G & Gonzalez-Farias, Graciela & Fuller, Wayne A, 1994. "A Comparison of Unit-Root Test Criteria," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 449-459, October. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:eee:eneeco:v:27:y:2005:i:4:p:603-615. See general information about how to correct material in RePEc.
If references are entirely missing, you can add them using this form.