Price convergence and information efficiency in German natural gas markets
Christian Growitsch (),
Marcus Stronzik () and
Rabindra Nepal ()
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Marcus Stronzik: Wissenschaftliches Institut für Infrastruktur und Kommunikationsdienste GmbH
No 2012-5, EWI Working Papers from Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI)
In 2007, Germany changed network access regulation in the natural gas sector and introduced a so-called entry-exit system. The re-regulation’s spot market effects 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 Dutch spot market. 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. However, allowing for time-variant adjustment processes, the remaining price differentials are only partly explained by transportation costs, indicating capacity constraints. Nonetheless, 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)
JEL-codes: C32 G14 L95 (search for similar items in EconPapers)
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Journal Article: Price Convergence and Information Efficiency in German Natural Gas Markets (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:ris:ewikln:2012_005
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