Growitsch, Christian, Stronzik, Marcus and Nepal, Rabindra ORCID: 0000-0001-9378-6206 (2015). Price Convergence and Information Efficiency in German Natural Gas Markets. Ger. Econ. Rev., 16 (1). S. 87 - 104. HOBOKEN: WILEY. ISSN 1468-0475

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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 Type: Journal Article
Creators:
CreatorsEmailORCIDORCID Put Code
Growitsch, ChristianUNSPECIFIEDUNSPECIFIEDUNSPECIFIED
Stronzik, MarcusUNSPECIFIEDUNSPECIFIEDUNSPECIFIED
Nepal, RabindraUNSPECIFIEDorcid.org/0000-0001-9378-6206UNSPECIFIED
URN: urn:nbn:de:hbz:38-412863
DOI: 10.1111/geer.12034
Journal or Publication Title: Ger. Econ. Rev.
Volume: 16
Number: 1
Page Range: S. 87 - 104
Date: 2015
Publisher: WILEY
Place of Publication: HOBOKEN
ISSN: 1468-0475
Language: English
Faculty: Unspecified
Divisions: Unspecified
Subjects: no entry
Uncontrolled Keywords:
KeywordsLanguage
TIME-SERIES; INTEGRATION; HYPOTHESIS; EUROPEMultiple languages
EconomicsMultiple languages
URI: http://kups.ub.uni-koeln.de/id/eprint/41286

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