The European gas market: new evidences

被引：6

作者：

Jotanovic, Vera ^{[1
]}

D'Ecclesia, Rita Laura ^{[2
]}

机构：

[1] Catholic Univ Louvain, Louvain La Neuve, Belgium

[2] Univ Sapienza Roma, Rome, Italy

来源：

ANNALS OF OPERATIONS RESEARCH | 2021年 / 299卷 / 1-2期

关键词：

Single price; Gas market integration; ECM; Granger causality; NATURAL-GAS; SPOT MARKET; CONDITIONAL HETEROSKEDASTICITY; INTEGRATION; CONVERGENCE; PRICES;

D O I：

10.1007/s10479-020-03714-5

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

A single price for the European gas market has been the ultimate goal for European countries. Deregulation of the gas market started in Europe in the late 1990s and three European packages for the creation of a single market for natural gas and electricity have already been issued. The aim of this paper is twofold: to verify whether natural gas prices are converging into a single price in Europe and to identify the reference trading hub for the European market. We study the evolution of natural gas prices during the last decade (2007-2017) at various trading hubs with the goal of identifying their level of integration. We examine the integration by testing for the presence of a common stochastic trend among the prices reported at the hubs. In order to detect the reference hub we test for a lead lag relationship between each pair of trading hubs. Our results show a high level of integration among the European trading hubs with the Dutch hub, TTF, playing the role of the reference trading hub.

引用

页码：963 / 999

页数：37

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