Veroffentlichungen des DIW Berlin
Marcus Stronzik, Margarethe Rammerstorfer, Anne Neumann
Theory of Storage -
An Empirical Assessment of the European Natural Gas Market
We analyze the relation between European natural gas storage facilities and price patterns at
major trading points, considering the theory of storage to derive a testable hypothesis imposed
by the non-arbitrage condition. To model the efficiency of the natural gas market, we apply two
indirect tests absent the scarcity of European inventory data. We find that operators of storage
facilities realize seasonal arbitrage profits, and that market performance overall is substantially
distinct from the competitive benchmark.
Discussion Paper Nr. 821
September 2008
Anne Neumann
Linking Natural Gas Markets - Is LNG Doing Its Job?
The increase in liquefied natural gas trade has accelerated the integration of previously segment-
ed markets in North America, Europe, and Asia. This paper provides evidence on the integration
of the transatlantic natural gas market. We test the theoretical proposition that in integrating
markets commodity prices should move closer than before. Using 2,059 pairs of daily spot prices
for natural gas in North America and Europe we investigate price dynamics covering the period
from 1999 until 2008. We apply the Kalman Filter technique to gain detailed information on
trends inherent over time. Results suggest an increasing convergence of spot prices on either side
of the Atlantic Basin.
Discussion Paper Nr. 822
September 2008
Die Volltextversionen der Diskussionspapiere liegen als PDF-Dateien vor und konnen von den ent-
sprechenden Webseiten des DIW Berlin heruntergeladen werden (www.diw.de/deutsch/
produkte/publikationen/diskussionspapiere/26927.html).
The full text versions of the Discussion Papers are available in PDF format and can be downloaded
from the DIW Berlin website (www.diw.de/english/products/publications/discussion_papers/
27539.html).
664
Wochenbericht des DIW Berlin Nr. 41/2008