Convergence of European Spot Market Prices for Natural Gas? A Real-Time Analysis of Market Integration using the Kalman Filter

This paper provides a textbook example of integration between commodity markets, and the subsequent price convergence or absence thereof. We analyze price relations between spot markets for natural gas in Europe. We apply time-varying coefficient estimation applying the Kalman filter, to test whether price convergence between different locations is really taking place. Our results reveal that the construction of a pipeline between the UK and Zeebrugge (Belgium) has led to almost perfect price convergence between these locations; on the other hand, liberalization on the continent does not seem... Mehr ...

Verfasser: Neumann, Anne
Siliverstovs, Boriss
Dokumenttyp: doc-type:workingPaper
Erscheinungsdatum: 2005
Verlag/Hrsg.: Dresden: Technische Universität Dresden
Fakultät Wirtschaftswissenschaften
Schlagwörter: ddc:330 / Q49 / D43 / L95 / C32 / integration / convergence / econometrics / natural gas / Erdgas / Preis / Warenbörse / Internationaler Preiszusammenhang / Schätzung / Großbritannien / Niederlande / EU-Staaten
Sprache: Englisch
Permalink: https://search.fid-benelux.de/Record/base-26860321
Datenquelle: BASE; Originalkatalog
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Link(s) : http://hdl.handle.net/10419/22722