Seminarios

Este viernes 2 de octubre Daan Hulshof presentará "What drives natural gas prices at European hubs?", tesis cuyo resumen se encuentra más abajo.

El seminario se llevará a cabo  a las 13:00 hrs en la sala P- 307. Para confirmar almuerzo, favor de escribirle a Pamela Fuentes a más tardar el jueves a las 13:00 hrs al correo pamela.fuentes@econ.uchile.cl.

Quienes quieran inscribir presentaciones para futuras sesiones, favor de escribir a damian.vergara.d@gmail.com.

Abstract 

This paper analyses the development of daily spot market gas prices at the Dutch gas hub from 2011 – 2014. The long run link of the gas price with the prices of the energy commodities crude oil and coal is evaluated with the Johansen (1988) co-integration test. Using linear regression, the effect of market fundamentals in the short run is assessed including the prices of crude oil and coal, competition, temperature and gas storage. With a structural vector autoregressive model the effect of temperature, supply, storage and oil and coal price shocks is assessed. The results indicate that gas prices have their own dynamics and are determined by gas-to-gas competition. No long run tie between gas, oil and coal prices is found. In the short run, however, oil and coal prices positively affect gas prices due to substitution between coal and oil in the power market and arbitrage between oil indexed and hub gas. As expected, gas storage and temperature have a positive effect on the gas price. There appears to be no effect of the degree of competition on the gas price. Contrary to expectations, the estimated effect of supply shocks on the gas price is zero.