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 ...
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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-27247276 |
Datenquelle: | BASE; Originalkatalog |
Powered By: | BASE |
Link(s) : | http://hdl.handle.net/10419/22722 |