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Natural Gas Market Liberalization: An Examination of UK and US Futures and Spot Prices

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Energy Economics and Financial Markets

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Abstract

The study reported in this chapter builds on previous studies of the extent of decoupling of oil and gas markets and thus the degree of deregulation of the gas sector in each country. It examines both UK and US oil and gas spot and futures market data. Spot gas and gas futures data from the respective domestic markets represent domestic factors and oil prices from global datasets represent global factors. Cointegration and exogeneity tests indicate that US markets have achieved a greater degree of decoupling with domestic gas price factors dominating global oil price factors in the determination of the future spot gas price. Therefore, it can be concluded that whilst progress in liberalization has been made in both markets, US deregulation policies have been more effective than those in the UK.

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Notes

  1. 1.

    Generalised Autoregressive Conditional Heteroskedasticity model.

  2. 2.

    A prominent pioneer of research into autoregressive time series processes including exogeneity and causal ordering is Christopher Sims. The example of related work published is Sims (1977).

  3. 3.

    Inflation rate and exchange rate differences between the US and the UK are not assumed to be major influences over the full period of this study. Thus it is assumed that a reasonable degree of purchasing power parity and interest rate parity exists between the US and the UK over the full period of the study.

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Authors and Affiliations

  1. School of Economics and Finance, Curtin Business School, Curtin University,  , GPO Box U1987, Perth, WA, 6845, Australia

    John L. Simpson

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  1. John L. Simpson
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Correspondence to John L. Simpson .

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Editors and Affiliations

  1. , Department of Finance, VU University Amsterdam, De Boelelaan 1105, Amsterdam, 1081 HV, Netherlands

    André Dorsman

  2. Curtin Business School, School of Economics and Finance, Curtin University, Hayman Road, Bentley, Perth, 6845, West Australia, Australia

    John L. Simpson

  3. Faculty of Economics and Business, Economics, Econometrics and Finance, University of Groningen, Nettelbosje 2, Groningen, 9747 AE, Groningen, Netherlands

    Wim Westerman

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Simpson, J.L. (2013). Natural Gas Market Liberalization: An Examination of UK and US Futures and Spot Prices. In: Dorsman, A., Simpson, J., Westerman, W. (eds) Energy Economics and Financial Markets. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-30601-3_10

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  • DOI: https://doi.org/10.1007/978-3-642-30601-3_10

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-30600-6

  • Online ISBN: 978-3-642-30601-3

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