EconStor >
Technische Universität Dresden >
Fakultät Wirtschaftswissenschaften, Technische Universität Dresden >
Dresden Discussion Paper Series in Economics, Faculty of Business and Economics, TU Dresden >

Please use this identifier to cite or link to this item:
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.
natural gas
Document Type:Working Paper
Appears in Collections:Dresden Discussion Paper Series in Economics, Faculty of Business and Economics, TU Dresden
Publikationen von Forscherinnen und Forschern des DIW Berlin

Files in This Item:
File Description SizeFormat
ddpe200505.pdf288.7 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.