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Price convergence and information efficiency in German natural gas markets

Citation

Growitsch, C and Nepal, R and Stronzik, M, Price convergence and information efficiency in German natural gas markets, German Economic Review, 16, (1) pp. 87-103. ISSN 1465-6485 (2013) [Refereed Article]

Copyright Statement

Copyright 2013 The Authors

DOI: doi:10.1111/geer.12034

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.

Item Details

Item Type:Refereed Article
Keywords:regulation, cointegration, natural gas markets
Research Division:Economics
Research Group:Applied economics
Research Field:Industry economics and industrial organisation
Objective Division:Economic Framework
Objective Group:Microeconomics
Objective Field:Industrial organisations
UTAS Author:Nepal, R (Dr Rabindra Nepal)
ID Code:129888
Year Published:2013
Web of Science® Times Cited:8
Deposited By:TSBE
Deposited On:2018-12-20
Last Modified:2019-01-07
Downloads:0

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