Linking Natural Gas Markets - Is LNG Doing its Job?

15 Pages Posted: 29 Jun 2009

See all articles by Anne Neumann

Anne Neumann

German Institute for Economic Research (DIW Berlin)

Date Written: September 1, 2008

Abstract

The increase in liquefied natural gas trade has accelerated the integration of previously segmented markets in North America, Europe, and Asia. This paper provides evidence on the integration of the transatlantic natural gas market. We test the theoretical proposition that in integrating markets commodity prices should move closer than before. Using 2,059 pairs of daily spot prices for natural gas in North America and Europe we investigate price dynamics covering the period from 1999 until 2008. We apply the Kalman Filter technique to gain detailed information on trends inherent over time. Results suggest an increasing convergence of spot prices on either side of the Atlantic Basin.

Keywords: market integration, spot markets, LNG, natural gas

JEL Classification: L95, Q49, F15

Suggested Citation

Neumann, Anne, Linking Natural Gas Markets - Is LNG Doing its Job? (September 1, 2008). DIW Berlin Discussion Paper No. 822, Available at SSRN: https://ssrn.com/abstract=1425519 or http://dx.doi.org/10.2139/ssrn.1425519

Anne Neumann (Contact Author)

German Institute for Economic Research (DIW Berlin) ( email )

Mohrenstra├če 58
Berlin, 10117
Germany

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