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The European gas market: new evidences

Author

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  • Vera Jotanovic

    (Université Catholique de Louvain)

  • Rita Laura D’Ecclesia

    (Università Sapienza di Roma)

Abstract

A single price for the European gas market has been the ultimate goal for European countries. Deregulation of the gas market started in Europe in the late 1990s and three European packages for the creation of a single market for natural gas and electricity have already been issued. The aim of this paper is twofold: to verify whether natural gas prices are converging into a single price in Europe and to identify the reference trading hub for the European market. We study the evolution of natural gas prices during the last decade (2007–2017) at various trading hubs with the goal of identifying their level of integration. We examine the integration by testing for the presence of a common stochastic trend among the prices reported at the hubs. In order to detect the reference hub we test for a lead lag relationship between each pair of trading hubs. Our results show a high level of integration among the European trading hubs with the Dutch hub, TTF, playing the role of the reference trading hub.

Suggested Citation

  • Vera Jotanovic & Rita Laura D’Ecclesia, 2021. "The European gas market: new evidences," Annals of Operations Research, Springer, vol. 299(1), pages 963-999, April.
    • Handle: RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-020-03714-5
    DOI: 10.1007/s10479-020-03714-5
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    References listed on IDEAS

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    Cited by:

    1. Chen, Yufeng & Wang, Chuwen & Zhu, Zhitao, 2022. "Toward the integration of European gas futures market under COVID-19 shock: A quantile connectedness approach," Energy Economics, Elsevier, vol. 114(C).
    2. Szafranek, Karol & Papież, Monika & Rubaszek, Michał & Śmiech, Sławomir, 2023. "How immune is the connectedness of European natural gas markets to exceptional shocks?," Resources Policy, Elsevier, vol. 85(PA).
    3. Li, Fengyun & Li, Xingmei, 2022. "An empirical analysis on regional natural gas market of China from a spatial pattern and social network perspective," Energy, Elsevier, vol. 244(PA).
    4. Brahmana, Rayenda Khresna, 2022. "Do Machine Learning Approaches Have the Same Accuracy in Forecasting Cryptocurrencies Volatilities?," MPRA Paper 119598, University Library of Munich, Germany.

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    More about this item

    Keywords

    Single price; Gas market integration; ECM; Granger causality;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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