Munich Personal RePEc Archive

Is there an East-West split in North-American natural gas markets?

Serletis, Apostolos (1997): Is there an East-West split in North-American natural gas markets? Published in: The Energy Journal , Vol. 18, (1997): pp. 47-62.

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Abstract

This paper presents evidence concerning shared stochastic trends in North American natural gas (spot) markets, using monthly data for the period that natural gas has been traded on organized exchanges (from June, 1990 to January, 1996). In doing so, it uses the Engle and Granger (1987) approach for estimating bivariate cointegrating relationships as well as Johansen's (1988) maximum likelihood approach for estimating cointegrating relationships in multivariate vector autoregressive models. The results indicate that the east-west split does not exist.

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