Price Convergence and Information Efficiency in German Natural Gas Markets

Christian Growitsch, Rabindra Nepal and Stronzik Marcus
Additional contact information
Stronzik Marcus: Scientific Institute for Infrastructure and Communication Services (WIK), Rhöndorfer Str. 68 53604Bad Honnef, Germany

German Economic Review, 2015, vol. 16, issue 1, 87-103

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.

Keywords: Natural gas market; regulation; cointegration; price convergence; time-varying coefficient (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
https://doi.org/10.1111/geer.12034 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
Journal Article: Price Convergence and Information Efficiency in German Natural Gas Markets (2015)
Working Paper: Price convergence and information efficiency in German natural gas markets (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:germec:v:16:y:2015:i:1:p:87-103

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/ger/html

DOI: 10.1111/geer.12034

Access Statistics for this article

German Economic Review is currently edited by Peter Egger, Almut Balleer, Jesus Crespo-Cuaresma, Mario Larch, Aderonke Osikominu and Georg Wamser

More articles in German Economic Review from De Gruyter
Bibliographic data for series maintained by Peter Golla ().