A Note on Natural Gas Price Transmission from TTF to Other European Hubs
Several recent studies pointed out to strong links among the most liquid core European natural gas markets. However, the evidence on the integration of less liquid, peripheral and core European markets is scarce. We address this topic by investigating the dynamics of daily natural gas prices quoted...
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| Format: | Article |
| Language: | English |
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SGH Warsaw School of Economics, Collegium of Economic Analysis
2024-12-01
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| Series: | Econometric Research in Finance |
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| Online Access: | https://www.erfin.org/journal/index.php/erfin/article/view/206 |
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| author | Michał Rubaszek |
| author_facet | Michał Rubaszek |
| author_sort | Michał Rubaszek |
| collection | DOAJ |
| description |
Several recent studies pointed out to strong links among the most liquid core European natural gas markets. However, the evidence on the integration of less liquid, peripheral and core European markets is scarce. We address this topic by investigating the dynamics of daily natural gas prices quoted at six European hubs located in Germany, Poland, Czechia, Austria, Italy and Spain. We explore to what extend prices in these hubs are driven by price changes in the most liquid, benchmark European hub (TTF, Netherlands), other energy commodity prices (oil and coal) and local natural gas market fundamentals (whether conditions and gas inventories). We find that natural gas markets are driven by predominantly by changes in the benchmark hub as well as deviations from the law of one price. We also show that other energy commodity prices as well as idiosyncratic factors are important in the least squares regression, but not in a more elaborated GARCH model. These results adds to the discussion on the integration of European natural gas markets.
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| format | Article |
| id | doaj-art-69a51d768bba40ccabec4166d7a420e8 |
| institution | Kabale University |
| issn | 2451-1935 2451-2370 |
| language | English |
| publishDate | 2024-12-01 |
| publisher | SGH Warsaw School of Economics, Collegium of Economic Analysis |
| record_format | Article |
| series | Econometric Research in Finance |
| spelling | doaj-art-69a51d768bba40ccabec4166d7a420e82025-01-20T05:58:42ZengSGH Warsaw School of Economics, Collegium of Economic AnalysisEconometric Research in Finance2451-19352451-23702024-12-019110.33119/ERFIN.2024.9.1.2A Note on Natural Gas Price Transmission from TTF to Other European HubsMichał Rubaszek0SGH Warsaw School of Economics, Poland Several recent studies pointed out to strong links among the most liquid core European natural gas markets. However, the evidence on the integration of less liquid, peripheral and core European markets is scarce. We address this topic by investigating the dynamics of daily natural gas prices quoted at six European hubs located in Germany, Poland, Czechia, Austria, Italy and Spain. We explore to what extend prices in these hubs are driven by price changes in the most liquid, benchmark European hub (TTF, Netherlands), other energy commodity prices (oil and coal) and local natural gas market fundamentals (whether conditions and gas inventories). We find that natural gas markets are driven by predominantly by changes in the benchmark hub as well as deviations from the law of one price. We also show that other energy commodity prices as well as idiosyncratic factors are important in the least squares regression, but not in a more elaborated GARCH model. These results adds to the discussion on the integration of European natural gas markets. https://www.erfin.org/journal/index.php/erfin/article/view/206European Natural Gas MarketNatural Gas Market IntegrationGARCH Model |
| spellingShingle | Michał Rubaszek A Note on Natural Gas Price Transmission from TTF to Other European Hubs Econometric Research in Finance European Natural Gas Market Natural Gas Market Integration GARCH Model |
| title | A Note on Natural Gas Price Transmission from TTF to Other European Hubs |
| title_full | A Note on Natural Gas Price Transmission from TTF to Other European Hubs |
| title_fullStr | A Note on Natural Gas Price Transmission from TTF to Other European Hubs |
| title_full_unstemmed | A Note on Natural Gas Price Transmission from TTF to Other European Hubs |
| title_short | A Note on Natural Gas Price Transmission from TTF to Other European Hubs |
| title_sort | note on natural gas price transmission from ttf to other european hubs |
| topic | European Natural Gas Market Natural Gas Market Integration GARCH Model |
| url | https://www.erfin.org/journal/index.php/erfin/article/view/206 |
| work_keys_str_mv | AT michałrubaszek anoteonnaturalgaspricetransmissionfromttftoothereuropeanhubs AT michałrubaszek noteonnaturalgaspricetransmissionfromttftoothereuropeanhubs |