Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/74396
Authors: 
Growitsch, Christian
Stronzik, Marcus
Nepal, Rabindra
Year of Publication: 
2012
Series/Report no.: 
EWI Working Paper 12/05
Abstract: 
In 2007, Germany changed network access regulation in the natural gas sector and introduced a so-called entry-exit system. The re-regulation’s spot market effects remain to be examined. We use cointegration analysis and a state space model with time-varying coefficients to study the development of natural gas spot prices in the two major trading hubs in Germany and the interlinked Dutch spot market. To analyse information efficiency in more detail, the state space model is extended to an error correction model. Overall, our results suggest a reasonable degree of price convergence between the corresponding hubs. However, allowing for time-variant adjustment processes, the remaining price differentials are only partly explained by transportation costs, indicating capacity constraints. Nonetheless, market efficiency in terms of information processing has increased considerably among Germany and The Netherlands.
Subjects: 
natural gas market
regulation
cointegration
price convergence
time-varying coefficient
JEL: 
C32
G14
L95
Document Type: 
Working Paper

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