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International Market Integration for Natural Gas? A Cointegration Analysis of Prices in Europe, North America and Japan

Aufsätze referiert extern - Web of Science

Boriss Siliverstovs, Guillaume L'Hégaret, Anne Neumann, Christian von Hirschhausen

In: Energy Economics 27 (2005), 4, S. 603-615


This paper investigates the degree of integration of natural gas markets in Europe, North America and Japan in the time period between the early 1990s and 2004. The relationship between international gas market prices and their relation to the oil price are explored through principal components analysis and Johansen likelihood-based cointegration procedure. Both of them show a high level of natural gas market integration within Europe, between the European and Japanese markets as well as within the North American market. At the same time the obtained results suggest that the European (respectively, Japanese) and the North American markets were not integrated.

Anne Neumann

Research Associate in the Energy, Transportation, Environment Department

JEL-Classification: C32;D43;F14;L95
Keywords: Cointegration, Natural gas, Globalization