Natural gas in the EU: An empirical study of price determinants in the age of blooming shale gas and LNG exports
Zemní plyn v EU: Empirická studie cenových determinantů v čase expandujíciho břidlicového plynu a vývozu LNG.
diploma thesis (DEFENDED)
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Permanent link
http://hdl.handle.net/20.500.11956/116724Identifiers
Study Information System: 210597
Collections
- Kvalifikační práce [18180]
Faculty / Institute
Faculty of Social Sciences
Discipline
Economics and Finance
Department
Institute of Economic Studies
Date of defense
5. 2. 2020
Publisher
Univerzita Karlova, Fakulta sociálních vědLanguage
English
Grade
Excellent
1 Abstract This paper forecasts day-ahead prices of Title Transfer Facility Gas Hub, Europe's most liquid gas market, by employing a comprehensive list of autoregressive and regionalized fundamental variables. Using a dataset containing daily data for the period 2018-2019, we estimate two specifcations using Extreme Gradient Boosting Algorithm. We fnd that yearly differentials in flling rate of European underground gas storage to carry signifcant information gain. Our results also confrm short term inertia in the price.