Price convergence and information efficiency in German natural gas markets

Growitsch, Christian, Stronzik, Marcus and Nepal, Rabindra (2015) Price convergence and information efficiency in German natural gas markets. German Economic Review, 16 1: 87-103. doi:10.1111/geer.12034

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Author Growitsch, Christian
Stronzik, Marcus
Nepal, Rabindra
Title Price convergence and information efficiency in German natural gas markets
Journal name German Economic Review   Check publisher's open access policy
ISSN 1465-6485
Publication date 2015-02-18
Year available 2013
Sub-type Article (original research)
DOI 10.1111/geer.12034
Open Access Status Not Open Access
Volume 16
Issue 1
Start page 87
End page 103
Total pages 17
Place of publication Chichester, West Sussex, United Kingdom
Publisher Wiley-Blackwell
Language eng
Abstract In 2007, Germany changed network access regulation in the natural gas sector and introduced a so-called entry-exit system. The spot market effects of the reregulation 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 spot market in the Netherlands. 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. Market efficiency in terms of information processing has increased considerably among Germany and the Netherlands.
Keyword Natural gas market
Price convergence
Time-varying coefficient
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status UQ

Document type: Journal Article
Sub-type: Article (original research)
Collections: Official 2016 Collection
School of Economics Publications
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Created: Tue, 15 Jul 2014, 03:56:29 EST by Rabindra Nepal on behalf of School of Economics