IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Convergence of European spot market prices for natural gas? A real-time analysis of market integration using the Kalman Filter

  • Anne Neumann
  • Boriss Siliverstovs
  • Christian von Hirschhausen

This letter provides a textbook example of an econometric analysis of the integration between two commodity markets and the subsequent price convergence or absence thereof. Price relations between spot markets are analysed for natural gas in Europe. The European market for natural gas is currently undergoing a liberalization process with the aim of creating a single, unified market. Time-varying coefficient estimation models are used, applying the Kalman filter to test whether price convergence between different locations is really taking place. The results reveal that the construction of a pipeline between the UK and Zeebrugge (Belgium) has led to almost perfect price convergence between these locations in the time period under consideration; on the other hand, liberalization on the European continent does not seem to be working so far.

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.

File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/13504850500404258&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
Download Restriction: Access to full text is restricted to subscribers.

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.

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 13 (2006)
Issue (Month): 11 ()
Pages: 727-732

as
in new window

Handle: RePEc:taf:apeclt:v:13:y:2006:i:11:p:727-732
Contact details of provider: Web page: http://www.tandfonline.com/RAEL20

Order Information: Web: http://www.tandfonline.com/pricing/journal/RAEL20

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.:

as in new window
  1. 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.
  2. Abdulnasser Hatemi-J, 2002. "Is the Government's intertemporal budget constraint fulfilled in Sweden? An application of the Kalman filter," Applied Economics Letters, Taylor & Francis Journals, vol. 9(7), pages 433-439.
  3. W. David Walls, 1994. "Price Convergence Across Natural Gas Fields and City Markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4), pages 37-48.
  4. Donggyu Sul, 1999. "Does Ex post uncovered interest differential reflect the degrees of capital mobility?," Applied Economics Letters, Taylor & Francis Journals, vol. 6(2), pages 97-102.
  5. Bekaert, Geert & Harvey, Campbell R, 1995. " Time-Varying World Market Integration," Journal of Finance, American Finance Association, vol. 50(2), pages 403-44, June.
  6. 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.
  7. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
  8. Serletis, Apostolos, 1994. "A cointegration analysis of petroleum futures prices," Energy Economics, Elsevier, vol. 16(2), pages 93-97, April.
  9. Serletis, Apostolos & King, Martin, 1997. "Common Stochastic Trends and Convergence of European Union Stock Markets," The Manchester School of Economic & Social Studies, University of Manchester, vol. 65(1), pages 44-57, January.
  10. 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.
  11. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
  12. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, March.
  13. 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.
  14. Haldane, A G & Hall, S G, 1991. "Sterling's Relationship with the Dollar and the Deutschemark: 1976-89," Economic Journal, Royal Economic Society, vol. 101(406), pages 436-43, May.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:13:y:2006:i:11:p:727-732. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.