Abstract
References
- Asche, F., Osmundsen, P., & Tveteras, R. 2001, “Market integration for natural gas in Europe”. International Journal of Global Energy Issues, 16:300-312.
- Asche, F., Osmundsen, P., & Tveteras, R. 2002, “European market integration for gas? Volume flexibility and political risk”. Energy Economics, 24(3):249-265.
- Barnes, R. & Bosworth, R. 2015, “LNG is linking regional natural gas markets: Evidence from the gravity model”. Energy Economics, 47:1117.
- De Vany, A. & Walls, W. D. 1993, “Pipeline access and market integration in the natural gas industry: Evidence from cointegration tests”. The Energy Journal, 14(4):1-19.
- Dickey, D. A & Fuller, W. A. 1979, “Distribution of the estimators for autoregressive time series with a unit root”. Journal of American Statistical Society, 75:427-431.
- Enders, W. 1995, “Applied Econometric Time Series”. New York: Wiley.
- Granger, C. W. J. 1969, “Investigating causal relations by econometric models and cross-spectral methods”. Econometrica, 37:424-438.
- Johansen, S. 1988, “Statistical analysis of cointegration vectors”. Journal of Economic Dynamics and Control, 12:231-254.
- Johansen, S. & Juselius, K. 1990, “Maximum likelihood estimation and inferences on co-integration with application to the demand for money”. Oxford Bulletin of Economics and Statistics, 52:169-210.
- Johansen, S. 1991, “Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models”. Econometrica, 59:1551-1580.
- Phillips, P. C. B. & Perron, P. 1988, “Testing for a unit root in time series regressions”. Biometrica, 75:335-346.
- Renour-Maissant, P. 2012, “Toward the integration of European natural gas markets: A time-varying approach”. Energy Policy, 1:779-790.
- Serletis, A. & Herbert, J. 1999, “The message in North American energy prices”. Energy Economics, 21:471-483.
- Siliverstovs, B., L'Hegaret, G., Neumann, A. & von Hirschhausen, C. 2005, “International market integration for natural gas? A cointegration analysis of prices in Europe, North America and Japan”. Energy Economics, 27:603-615.
Abstract
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.
References
- Asche, F., Osmundsen, P., & Tveteras, R. 2001, “Market integration for natural gas in Europe”. International Journal of Global Energy Issues, 16:300-312.
- Asche, F., Osmundsen, P., & Tveteras, R. 2002, “European market integration for gas? Volume flexibility and political risk”. Energy Economics, 24(3):249-265.
- Barnes, R. & Bosworth, R. 2015, “LNG is linking regional natural gas markets: Evidence from the gravity model”. Energy Economics, 47:1117.
- De Vany, A. & Walls, W. D. 1993, “Pipeline access and market integration in the natural gas industry: Evidence from cointegration tests”. The Energy Journal, 14(4):1-19.
- Dickey, D. A & Fuller, W. A. 1979, “Distribution of the estimators for autoregressive time series with a unit root”. Journal of American Statistical Society, 75:427-431.
- Enders, W. 1995, “Applied Econometric Time Series”. New York: Wiley.
- Granger, C. W. J. 1969, “Investigating causal relations by econometric models and cross-spectral methods”. Econometrica, 37:424-438.
- Johansen, S. 1988, “Statistical analysis of cointegration vectors”. Journal of Economic Dynamics and Control, 12:231-254.
- Johansen, S. & Juselius, K. 1990, “Maximum likelihood estimation and inferences on co-integration with application to the demand for money”. Oxford Bulletin of Economics and Statistics, 52:169-210.
- Johansen, S. 1991, “Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models”. Econometrica, 59:1551-1580.
- Phillips, P. C. B. & Perron, P. 1988, “Testing for a unit root in time series regressions”. Biometrica, 75:335-346.
- Renour-Maissant, P. 2012, “Toward the integration of European natural gas markets: A time-varying approach”. Energy Policy, 1:779-790.
- Serletis, A. & Herbert, J. 1999, “The message in North American energy prices”. Energy Economics, 21:471-483.
- Siliverstovs, B., L'Hegaret, G., Neumann, A. & von Hirschhausen, C. 2005, “International market integration for natural gas? A cointegration analysis of prices in Europe, North America and Japan”. Energy Economics, 27:603-615.
Details
| Journal Section | Articles |
|---|---|
| Authors | |
| Publication Date | September 30, 2016 |
| Published in Issue | Year 2016 Volume: 5 Issue: 3 |
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