Are world natural gas markets moving toward integration? Evidence from the Henry Hub and National Balancing Point forward curves

Helyette Geman and Bo Liu

Abstract

ABSTRACT

We present the outlook of the world gas markets in 2014 and investigate whether the US and UK gas markets are moving toward integration. In order to do this, we classically study the cointegration of the Henry Hub and National Balancing Point indexes, but we also introduce the novel concept of distances between forward curves and propose three of them. From all these perspectives, and by analyzing a database covering the period January 2005 to April 2014, we conclude that no convergence has yet occurred between these two markets.