Price Convergence and Information Efficiency in German Natural Gas Markets

Christian Growitsch, Marcus Stronzik, Rabindra Nepal

Research output: Contribution to journalArticlepeer-review


In 2007, Germany changed network access regulation in the natural gas
sector and introduced a so-called entry–exit system. The spot market effects of the reregulation remain to be examined. We use cointegration analysis and a state space model with time-varying coefficients to study the development of natural gas spot prices in the two major trading hubs in Germany and the interlinked spot market in the Netherlands. To analyse information efficiency in more detail, the state space model is extended to an error correction model. Overall, our results suggest a reasonable degree of price convergence between the corresponding hubs. Market efficiency in terms of information processing has increased considerably among Germany and the Netherlands.
Original languageEnglish
Pages (from-to)87-103
Number of pages17
JournalGerman Economic Review
Issue number1
Publication statusPublished - Feb 2015
Externally publishedYes


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