出版社：Energiewirtschaftliches Institut an der Universität zu Köln
摘要：The US and UK markets for natural gas are connected by arbitrage activity in the form of shiftingtrade volumes of lique ed natural gas (LNG). We empirically investigate the degree of integrationbetween the US and the UK gas markets by using a threshold cointegration approach that is inaccordance with the law of one price and explicitly accounts for transaction costs. Our empiricalresults reveal a high degree of market integration for the period 2000-2008. Although US andUK gas prices seemed to have decoupled between 2009 and 2012, we still nd a certain degree ofintegration pointing towards signi cant regional price arbitrage. However, high threshold estimatesin the latter period indicate impediments to arbitrage that are by far surpassing the LNG transportcosts di erence between the US and UK gas market
关键词：natural gas market; liqui ed natural gas; law of one price; arbitrage; nonlinear;models; threshold error correction
