Price interactions and discovery among natural gas spot markets in North America

Recent advances in modeling causal flows with time series analysis are used to study relationships among eight North American natural gas spot market prices. Results indicate that the Canadian and US natural gas market is a single highly integrated market. Further results indicate that price discovery tends to reflect both regions of excess demand and supply. Across North America, Malin Hub in Oregon, Chicago Hub, Illinois, Waha, Texas, and Henry Hub, Louisiana region, are the most important markets for price discovery. Opal Hub in Wyoming is an information sink in contemporaneous time, receiving price information but passing on no price information. AECO Hub in Alberta, Canada, receives price signals from several markets and passes on information to Opal and the Oklahoma region.