Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22722
Authors: 
Neumann, Anne
Siliverstovs, Boriss
Year of Publication: 
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

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