International market integration for natural gas? A cointegration analysis of prices in Europe, North America and Japan

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

doi:10.1016/j.eneco.2005.03.002

Cited by 193 publications

(108 citation statements)

References 13 publications

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“…The authors use cointegration analysis to show how unbundling pipeline ownership and capacity rights increased integration of regional spot prices in the United States. More recently, Siliverstovs et al (2005) use the Johansen test for cointegration to investigate relationships between European, Japanese, and North American gas prices. The authors find that European and Japanese gas prices are cointegrated but reject an absolute version of the law of one price, which would require that percent changes in European gas prices and Japanese LNG prices be one-for-one.…”

Section: Empirics: Cointegration and Lng Pricesmentioning

confidence: 99%

Global LNG Pricing Terms and Revisions: An Empirical Analysis

Agerton¹

2017

The Energy Journal

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Asian long-term contracts for liquefied natural gas (LNG) are generally thought to index LNG prices to oil prices. This should mean that LNG and oil prices are cointegrated. However, statistical evidence for cointegration using Japanese data is not strong. To resolve this puzzle, I examine 16 Japanese, South Korean, Taiwanese, and Spanish LNG import price series and allow for multiple, unknown structural breaks in the relationship to oil prices. This resolves the puzzle, and I provide estimates for the timing of breaks and the underlying average pricing terms. I relate these to count, volume, and duration data on long-term contracts and discuss how to interpret econometric estimates in light of contract data. This paper complements existing work on global gas market integration, which largely ignores how discrete changes in oil-indexed long-term contracts will affect empirical relationships.

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Section: Empirics: Cointegration and Lng Pricesmentioning

confidence: 99%

Global LNG Pricing Terms and Revisions: An Empirical Analysis

Agerton¹

2017

The Energy Journal

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“…It is found that there is a strong evidence of co-integration between the price of Brent oil and each of the European gas prices and between the price of WTI oil and each of the European gas prices at 1% significance level. Differently from the results of Siliverstovs (2005) and the multidimensional scaling analysis, the null hypothesis of no co-integration between European and Japanese gas markets is not rejected. Having found evidence of a co-integrating relationship, this implies causality in at least one direction.…”

Section: Findings and Discussionmentioning

confidence: 94%

“…The methodology part is based on the study of Siliverstovs et al (2005). The data covers the period of February 2000 to December 2010, totally 131 observations.…”

Section: Methodsmentioning

confidence: 99%

“…Natural gas prices can be affected due the specific supply and transportation costs, demand, weather and geographical conditions and diversification of import. Furthermore, because the supply of natural gas is limited with specific countries, a possibility of political risk may also affect the gas prices segmentation (Siliverstovs et al, 2005).…”

Section: ____________________________________________________________mentioning

confidence: 99%

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The dynamic interactions of world natural gas markets

Kapusuzoğlu¹,

Liang²,

Ulusoy³

2016

Pressacademia

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The aim of this study is to analyse the short and long-term interactions between the natural gas markets in the context of Europe, Japan and the US that are the main constituents of natural gas consumption in the world and between the natural gas and oil markets. Within the framework of this study co-integration test is performed and the variable groups that have long-term relationships with each other are presented. Finally, the pairwise Granger causality test is performed in order to examine the short-term causality relationships and the results of uni-directional, bi-directional and non-casual relationships are found.

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“…Oil indexed LTCs are also common for gas trade in continental Europe. The oil indexation explains, in part, why gas prices in Europe are fully integrated with oil prices (Asche et al, 2001;Asche et al, 2002;Asche et al, 2006;Siliverstovs et al, 2005;Panagiotidis and Rutledge, 2007). In markets where spot trade is more prevalent and gas-to-gas competition stronger, such as the US, the relationship between oil and natural gas prices tend to be much weaker (Villar and Joutz, 2006;Parsons and Ramberg, 2012).…”

Section: Background and Motivation: Natural Gas Tradementioning

confidence: 99%

Trade with Endogenous Transportation Costs: The Value of LNG Exports

2015

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. This paper investigates the economic value of trade when prices of transportation services are endogenous to cross-market price spreads. This is relevant for liquefied natural gas (LNG) exports. LNG transportation capacity is limited in the short-run, and long lead-times are involved in extending the transportation infrastructure. We establish empirically that LNG transportation costs have been endogenous to regional gas prices spreads. As such, transportation service providers have been able to capture part of the price spread. We proceed to develop a method to value LNG exports under conditions of endogenous transportation costs and market integration. We use this method to quantify the effect of endogenous transportation costs on the value of LNG exports from the US to Japan. Our analysis shows that when transportation costs are correctly treated as endogenous, the LNG export benefit can drop by as much as 20-50% relative to the case of exogenous cost. Terms of use: Documents inJEL-Code: F130, Q270, Q480.

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International market integration for natural gas? A cointegration analysis of prices in Europe, North America and Japan

Cited by 193 publications

References 13 publications

Global LNG Pricing Terms and Revisions: An Empirical Analysis

Global LNG Pricing Terms and Revisions: An Empirical Analysis

The dynamic interactions of world natural gas markets

Trade with Endogenous Transportation Costs: The Value of LNG Exports

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