Charles Darwin University

CDU eSpace
Institutional Repository

 
CDU Staff and Student only
 

Price Convergence and Information Efficiency in German Natural Gas Markets

Growitsch, Christian, Stronzik, Marcus and Nepal, Rabindra (2015). Price Convergence and Information Efficiency in German Natural Gas Markets. German Economic Review,16(1):87-103.

Document type: Journal Article
Citation counts:
Google Scholar Search Google Scholar

IRMA ID 81144320xPUB42
Title Price Convergence and Information Efficiency in German Natural Gas Markets
Author Growitsch, Christian
Stronzik, Marcus
Nepal, Rabindra
Journal Name German Economic Review
Publication Date 2015
Volume Number 16
Issue Number 1
ISSN 1465-6485   (check CDU catalogue open catalogue search in new window)
Scopus ID 2-s2.0-84921556131
Start Page 87
End Page 103
Total Pages 17
Publisher Wiley-Blackwell Publishing Ltd.
Field of Research ECONOMICS
HERDC Category C1 - Journal Article (DIISR)
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.
DOI http://dx.doi.org/10.1111/geer.12034   (check subscription with CDU E-Gateway service for CDU Staff and Students  check subscription with CDU E-Gateway in new window)
 
Versions
Version Filter Type
Access Statistics: 10 Abstract Views  -  Detailed Statistics
Created: Tue, 26 Jul 2016, 12:35:27 CST