Price bubbles in the European natural gas market between 2011 and 2020


Resources Policy, vol.80, 2023 (SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 80
  • Publication Date: 2023
  • Doi Number: 10.1016/j.resourpol.2022.103186
  • Journal Name: Resources Policy
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus, International Bibliography of Social Sciences, Aerospace Database, Aquatic Science & Fisheries Abstracts (ASFA), Business Source Elite, Business Source Premier, Communication Abstracts, EconLit, Index Islamicus, INSPEC, Metadex, PAIS International, Pollution Abstracts, Public Affairs Index, Civil Engineering Abstracts
  • Keywords: Hub pricing, Bubbles, Natural gas prices, GSADF test
  • Hacettepe University Affiliated: Yes


© 2022 Elsevier LtdThis study examines the price bubbles in the European natural gas markets. We analyze whether the countries that are located in the same geographical region and using the same pricing methodology may expose quite different numbers of natural gas price bubbles. We apply the methodology known as the generalized sup ADF (GSADF) test by Phillips et al. (2015) using the day ahead data from January 2011 to June 2020. Based on our findings, we show that the Dutch TTF exposes the lowest number of price bubbles, followed by the British NBP, while the Austrian VTP reveals the highest number of price bubbles. Our results show that more established gas markets are subject to fewer price bubbles. Our empirical analysis also provides compelling evidence that the unique characteristics of each hub are important for the number of price bubbles. Furthermore, we confirm that there is a substantial degree of integration in the European natural gas market, as the timing of the bubble periods is quite similar. Identification of a well-functioning natural gas market, which is subject to fewer price bubbles, provides market actors and policymakers with profound information to use in adapting the decarbonized gas market to facilitate sustainable energy transition and expedites the trading of low-carbon gas at the national hubs.