Assessing the Integration of Natural Gas Markets in Europe and East Asia: An ARDL Approach

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İktisadi İdari ve Siyasal Araştırmalar Dergisi
Cilt: 10 Sayı: 28
Assessing the Integration of Natural Gas Markets in Europe and East Asia: An ARDL Approach

Assessing the Integration of Natural Gas Markets in Europe and East Asia: An ARDL Approach

Pages : 828-851

View : 34 | Download : 188

Publication Date : 2025-10-31

Article Type : Research Paper

Abstract :This study investigates the relationship between natural gas price dynamics in Europe and East Asia using the Nonlinear Autoregressive Distributed Lag (NARDL) model, which allows for the analysis of both short- and long-term asymmetries in a unified framework. The NARDL approach is particularly appealing due to its simplicity in handling these asymmetries within a single model. The dataset includes daily spot prices for natural gas in East Asia, specifically the LNG Japan/Korea Marker (JKM) obtained from SP Platts covering the period from July 29, 2014, to November 17, 2023. Additionally, daily spot prices from the National Balancing Point (NBP) in the United Kingdom were sourced from Refinitiv Eikon for the same time frame. Findings from the analysis indicate that changes in lagged natural gas prices in one market significantly influence prices in the other. Moreover, the impact of negative price shifts appears to be greater than that of positive shifts, with long-term multiplier effects manifesting over a period of approximately 9 to 12 months.
Keywords : Market Integration, LNG, ARDL

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