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Price convergence and information efficiency in German natural gas markets
journal contribution
posted on 2023-05-19, 23:26 authored by Growitsch, C, Nepal, R, Stronzik, MIn 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.
History
Publication title
German Economic ReviewVolume
16Pagination
87-103ISSN
1465-6485Department/School
TSBEPublisher
Wiley-Blackwell Publishing Ltd.Place of publication
United KingdomRights statement
Copyright 2013 The AuthorsRepository Status
- Restricted