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Erscheinungsjahr: 
2005
Schriftenreihe/Nr.: 
Dresden Discussion Paper Series in Economics No. 05/05
Verlag: 
Technische Universität Dresden, Fakultät Wirtschaftswissenschaften, Dresden
Zusammenfassung: 
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.
Schlagwörter: 
integration
convergence
econometrics
natural gas
JEL: 
Q49
D43
L95
C32
Dokumentart: 
Working Paper

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