International Market Integration for Natural Gas?: A Cointegration Analysis of Prices in Europe, North America and Japan

Guillaume L¿Hégaret, Boriss Siliverstovs, Anne Neumann and Christian Hirschhausen

No 393, Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research

Abstract: We examine the degree of natural gas market integration in Europe, North America and Japan, between the mid 1990's and 2002. The relationship between the international gas marker prices, and their relation to the oil price, are investigated through principal component analysis and Johansen likelihood-based procedures. Both of them show a high level of integration within the European/Japanese and North American markets; but they also show that the European resp. Japanese and the North American markets were not integrated.

Keywords: Market Integration; gas markets; cointegration test; globalization (search for similar items in EconPapers)
JEL-codes: C32 D43 L95 Q41 (search for similar items in EconPapers)
Pages: 24 p.
Date: 2003
New Economics Papers: this item is included in nep-com, nep-ifn, nep-mac and nep-rmg
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Citations: View citations in EconPapers (27)

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Related works:
Journal Article: International market integration for natural gas? A cointegration analysis of prices in Europe, North America and Japan (2005)
Working Paper: International Market Integration for Natural Gas? A Cointegration Analysis of Prices in Europe, North America and Japan (2004)
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