The European gas market: new evidences

Vera Jotanovic () and Rita Laura D’Ecclesia ()
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Vera Jotanovic: Université Catholique de Louvain
Rita Laura D’Ecclesia: Università Sapienza di Roma

Annals of Operations Research, 2021, vol. 299, issue 1, No 40, 963-999

Abstract: Abstract A single price for the European gas market has been the ultimate goal for European countries. Deregulation of the gas market started in Europe in the late 1990s and three European packages for the creation of a single market for natural gas and electricity have already been issued. The aim of this paper is twofold: to verify whether natural gas prices are converging into a single price in Europe and to identify the reference trading hub for the European market. We study the evolution of natural gas prices during the last decade (2007–2017) at various trading hubs with the goal of identifying their level of integration. We examine the integration by testing for the presence of a common stochastic trend among the prices reported at the hubs. In order to detect the reference hub we test for a lead lag relationship between each pair of trading hubs. Our results show a high level of integration among the European trading hubs with the Dutch hub, TTF, playing the role of the reference trading hub.

Keywords: Single price; Gas market integration; ECM; Granger causality (search for similar items in EconPapers)
JEL-codes: C13 C22 C44 G14 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (6)

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DOI: 10.1007/s10479-020-03714-5

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