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Price Convergence in North American Natural Gas Spot Markets

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  • Martin 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

  • Martin King & Milan Cuc, 1996. "Price Convergence in North American Natural Gas Spot Markets," The Energy Journal, , vol. 17(2), pages 17-42, April.
    • Handle: RePEc:sae:enejou:v:17:y:1996:i:2:p:17-42
    DOI: 10.5547/ISSN0195-6574-EJ-Vol17-No2-2
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    References listed on IDEAS

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    1. Bomhoff, E.J., 1992. "Four econometric fashions and the Kalman filter alternative : A simulation study," Discussion Paper 1992-27, Tilburg University, Center for Economic Research.
    2. Arthur De Vany & W. David Walls, 1993. "Pipeline Access and Market Integration in the Natural Gas Industry: Evidence from Cointegration Tests," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4), pages 1-20.
    3. Emile J. Brinkmann & Ramon Rabinovitch, 1995. "Regional Limitations on the Hedging Effectiveness of Natural Gas Futures," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 113-124.
    4. Bomhoff, E.J., 1992. "Four Econometric Fashions and the Kalman Filter Alternative," RCER Working Papers 324, University of Rochester - Center for Economic Research (RCER).
    5. Wojciech W. Charemza & Derek F. Deadman, 1992. "New Directions In Econometric Practice," Books, Edward Elgar Publishing, number 84, March.
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    Cited by:

    1. Andrea Bastianin & Marzio Galeotti & Michele Polo, 2018. "Convergence of European natural gas prices," IEFE Working Papers 107, IEFE, Center for Research on Energy and Environmental Economics and Policy, Universita' Bocconi, Milano, Italy.
    2. Bastianin, Andrea & Galeotti, Marzio & Polo, Michele, 2019. "Convergence of European natural gas prices," Energy Economics, Elsevier, vol. 81(C), pages 793-811.
    3. Amina Baba & Sana Ben Kebaier & Anna Creti, 2024. "How efficient are natural gas markets in practice? A wavelet-based approach," Annals of Operations Research, Springer, vol. 334(1), pages 623-677, March.

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