Intégration des marches du gaz: Europe et au-delà

par Ekaterina Dukhanina

Projet de thèse en Economie et finance

Sous la direction de François Leveque.

Thèses en préparation à Paris Sciences et Lettres , dans le cadre de EOS - Économie, Organisations, Société , en partenariat avec Centre d' Economie Industrielle (laboratoire) et de École nationale supérieure des mines (Paris) (établissement de préparation de la thèse) depuis le 01-12-2016 .


  • Résumé

    L'expérience des années 1980 a montré que la libéralisation des marchés américains a contribué à leur intégration en modifiant le niveau des prix et leurs tendances. A ce titre des nombreuses recherches ont été réalisées sur le processus d'intégration des marchés et la convergence des prix régionaux du gaz. Néanmoins ce sujet n'a pas été étudié profondément pour le cas européen, où la dérégulation des marchés du gaz a été initiée récemment et la formation du marché européen du gaz est toujours en cours. Le degré de convergence des marchés du gaz joue un rôle important dans le développement du marché européen et dans la question de sa sécurité d'approvisionnement. Dans le cadre de la thèse la recherche sera appliquée aux marchés gaziers européens, en tenant compte les spécificités du processus de dérégulation, ainsi qu'au marché mondial afin de déterminer les facteurs de convergence ou divergence des marchés. Dans la thèse les aspects liés au transport interrégional du gaz, au développement des nouvelles technologies dans l'industrie gazière et d'autres sources de l'énergie seront analysés. Le travail sera réalisé à l'aide des modèles théoriques et économétriques (modèles de cointégration partielle et nonlinéaire) pour déterminer le degré de l'intégration des marchés du gaz et l'impact des chocs à court et à long terme en analysant les prix spot et les prix à terme, l'offre et la demande du gaz.

  • Titre traduit

    Integration of gas markets: Europe and beyond


  • Résumé

    The liberalization of natural gas markets has promoted a fair amount of research on the process of integration and convergence of gas prices in different locations. Indeed, the degree to which national gas markets have converged over time is an important subject which highlights the level of European integration, on one side, and the creation of a worldwide market for gas on the other. Defining integration, though, is not straightforward. For example, A. Marshall's standard definition of an integrated market indicates that two geographical markets for a tradable good are integrated if the spatial price difference between these two markets equals the unit transportation cost. However, empirically, assessing the geographic expanse of gas markets represents a challenging task because price spreads could also reflect other factors, including transportation bottlenecks, regulations, and/or imperfect competition (e.g., oligopolistic pricing by the arbitrageurs). Prior studies have focused on the North American market, showing increasing price integration as liberalization proceeded in the 1980s. The literature on Europe is relatively less abundant. Most of the studies cited have an empirical nature and examine the degree of spatial integration between gas with the help of time-series techniques. These studies typically rely on local price data and assess the co-movements of prices at each market location. In these analyses, it is typically argued that high degrees of correlation and/or co-integration (a statistical concept aimed at identifying the existence of a long-run relationship between two variables) between the price series are evidence that the law of one price is being enforced through spatial arbitrages. Some studies also considered price convergence among different national markets rather than integration, using time-varying parameter models and applying the Kalman filter estimation. These price-based empirical models provide useful insights into how local price shocks are transmitted to adjacent markets. However, the methodologies used in these empirical studies are also cursed by a series of severe limitations.[1] Therefore, the issue of natural gas market convergence should be studied in a broader perspective. In fact, the deregulation of the European natural gas industry is a recent and continually evolving process, and integration of European gas markets is still very much in progress. This phenomenon is gradual and the speed of the process is determined by the particular situation in each individual country. In the North American markets, structural changes in the gas extraction technology and availability have also modified price level and trends. The development of LNG, which eases price arbitrage across the world, can also affect convergence. Demand shocks can be local or global, and future gas needs are also country-specific. Oil price movements and its link to gas prices represent another factor affecting price convergence. Moreover, there can be price convergence in the short term but with divergent long term trends. For instance, at the beginning of 2016 the spread across international gas prices (US, Asia, UK NBP) has shrunk, after a period of substantial divergence. The proposed PhD topics aims at investigating the possible drivers of convergence or divergence of gas market, on two layers, that is among European markets (not only prices) and across the Atlantic, European and Pacific markets. Both short and long terms determinants will be analyzed. Spot prices, but also forward prices have to be analyzed. The possibility of coupling gas markets in Europe has to be explored. The modeling approach can be either theoretical (applied models of industrial organization as in Ritz (2015)) and/or more empirical (using either large-scale calibrated models of the world gas markets or more sophisticated econometric approaches such as partial and nonlinear cointegration, contagion models, etc.).