Décimosexta sesión Seminario FEN - Daan Hulshof presenta "What drives natural gas prices at European hubs?"
Fecha de inicio: 02 de Octubre, 2015, 13:00 hrs.
Fecha de término: 02 de Octubre, 2015, 14:00 hrs.
Estimados Todos,
Tengo a bien comunicar que por razones de fuerza mayor, el seminario se llevará a cabo en la sala P-307 de la FEN.
Saludos cordiales,
Gustavo Zurita
----------------------------------
Estimados profesores,
Este viernes 02 de octubre se llevará a cabo la décimosexta sesión del seminario interno de FEN donde se exponen trabajos en progreso de académicos y avances de tesis de estudiantes.
En esta ocasión, el estudiante de magíster Daan Hulshof (DECON) 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 1605 de la torre. Se solicita confirmar asistencia con Pamela Fuentes al correo pamela.fuentes@econ.uchile.cl a más tardar el día jueves 01 de octubre a las 13:00 horas, ya que el seminario contempla almuerzo.
Quienes deseen inscribir presentaciones para futuras sesiones, por favor dirigirse con Damián Vergara al correo damian.vergara.d@gmail.com.
Atentos saludos,
Dirección de Investigación FEN
----------------------------------
Título - What drives natural gas prices at European hubs?
Autores - Daan Hulshof [University of Groningen, Universidad de Chile]
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.
Keywords - Natural gas price, gas hubs, supply and demand; time series analysis