Integration reforms in the European natural gas market: A rolling-window spillover analysis
David C. Broadstock,
Raymond Li and
Energy Economics, 2020, vol. 92, issue C
This paper revisits the topic of natural gas market integration across Europe. Against the backdrop of three EU gas directives aimed at creating competition and strengthening market connections, and the move towards hub trading and gas-on-gas pricing in the European markets, we adopt and extend the spillovers index due to Diebold and Yilmaz (2009) to examine the path of market connectivity over the period between 2005:7–2018:12. An initial estimation uncovers what might be deemed a ‘clunky’ evolution in the spillover index. We identify the cause of this, and devise a tilted ‘importance weighting based re-sampling’ rolling window estimation strategy which preserves the underlying evolutionary trend without overly weighting the importance of historic outliers. Our results show that although there are periods of deterioration, the level of market connectivity recovers, producing a generally increasing trend of market integration in our sample period. The connectivity index peaks at around 65%, i.e. a little above halfway through to full connectivity. We conclude that the European natural gas market has achieved a non-trivial, albeit not full, level of integration to-date.
Keywords: Natural gas prices; European markets; Spillovers; Integration (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302796
Access Statistics for this article
Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant
More articles in Energy Economics from Elsevier
Bibliographic data for series maintained by Nithya Sathishkumar ().