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Title:Convergence of European Spot Market Prices for Natural Gas? A Real-Time Analysis of Market Integration using the Kalman Filter PDF Logo
Authors:Neumann, Anne
Siliverstovs, Boriss
Issue Date:2005
Series/Report no.:Dresden discussion paper in economics 05/05
Abstract: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 to be working yet.
Subjects:integration
convergence
econometrics
natural gas
JEL:Q49
D43
L95
C32
Document Type:Working Paper
Appears in Collections:Publikationen von Forscherinnen und Forschern des DIW
Dresden Discussion Paper Series in Economics, Faculty of Business and Economics, TU Dresden

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