Market integration for natural gas in Europe

61)5(325712

0DUNHW,QWHJUDWLRQIRU1DWXUDO*DVLQ(XURSH

E\

)UDQN$VFKH 3HWWHU2VPXQGVHQ

5DJQDU7YHWHUnV

61)SURMHFWQR

©,QWHUQDVMRQDOHVNDWWHRJUDPPHYLONnULSHWUROHXPVQ ULQJHQ´

7KHSURMHFWLVILQDQFHGE\WKH5HVHDUFK&RXQFLORI1RUZD\

)281'$7,21)255(6($5&+,1(&2120,&6$1'%86,1(66$'0,1,675$7,21

%(5*(16(37(0%(5

‹'HWWHHNVHPSODUHUIUHPVWLOWHWWHUDYWDOH PHG.23,1256WHQHUJDWH2VOR

<WWHUOLJHUHHNVHPSODUIUHPVWLOOLQJXWHQDYWDOH RJLVWULGPHGnQGVYHUNORYHQHUVWUDIIEDUW RJNDQPHGI¡UHHUVWDWQLQJVDQVYDU

,6%1 ,661

0DUNHW,QWHJUDWLRQIRU1DWXUDO*DVLQ(XURSH

by

Frank Asche

, Petter Osmundsen

and Ragnar Tveterås

6WDYDQJHU8QLYHUVLW\&ROOHJH)RXQGDWLRQIRU5HVHDUFKLQ(FRQRPLFVDQG%XVLQHVV$GPLQLVWUDWLRQ 6WDYDQJHU8QLYHUVLW\&ROOHJH1RUZHJLDQ6FKRRORI(FRQRPLFVDQG%XVLQHVV$GPLQLVWUDWLRQ

September 2000

Abstract

,Q WKLV SDSHU ZH H[DPLQH WKH GHJUHH RI PDUNHW LQWHJUDWLRQ LQ )UHQFK JDV LPSRUWV $UH WKHUH VXEVWDQWLDOSULFHGLIIHUHQFHV EHWZHHQ JDV IURP GLIIHUHQW H[SRUW FRXQWULHV DQG GR SULFHV PRYH WRJHWKHU")XUWKHUPRUHZHDQDO\]HWRZKDWH[WHQWWKH)UHQFK*HUPDQDQG%HOJLDQPDUNHWVDUH LQWHJUDWHG 7KH ORQJWHUP WDNHRUSD\ FRQWUDFWV DUH GHVFULEHG DQG DQDO\]HG 7LPH VHULHV RI 1RUZHJLDQ 'XWFK DQG 5XVVLDQ JDV H[SRUW SULFHV DUH H[DPLQHG IRU WKH SHULRG

&RLQWHJUDWLRQ WHVWV VKRZ WKDW WKDW WKH GLIIHUHQW ERUGHU SULFHV IRU JDV WR )UDQFH PRYH SURSRUWLRQDOO\RYHUWLPHLQGLFDWLQJWKDWWKH/DZRI2QH3ULFHKROGV$OWKRXJKRQHFRXOGH[SHFW GLIIHUHQWSURGXFHUFRXQWULHVWRKDYHGLIIHUHQWVXSSO\REOLJDWLRQVZHGRQRWILQGDQ\VLJQLILFDQW GLIIHUHQFHVLQ PHDQ SULFHV :KHQ WKH VWXG\ LV H[WHQGHG WR DQ LQWHUFRXQWU\ DQDO\VLV LQFOXGLQJ

*HUPDQ\DQG%HOJLXPZHILQGWKDWQDWLRQDOPDUNHWVDUHKLJKO\LQWHJUDWHG

Keywords: Market Integration, Natural Gas, Gas markets, Cointegration JEL class.no.: C33,D43,L72, Q41

$GGUHVVRIFRUUHVSRQGHQFH)UDQN$VFKH6WDYDQJHU8QLYHUVLW\&ROOHJH32%R[8OODQGKDXJ1 6WDYDQJHU1RUZD\(PDLO)UDQN$VFKH#WQKLVQR7HO

,QWURGXFWLRQ

,QFUHDVHG PDUNHW LQWHJUDWLRQ LV D FHQWUDO PRWLYDWLRQ EHKLQG WKH OLEHUDOL]DWLRQ RI WKH QDWXUDO JDV PDUNHW LQ WKH (XURSHDQ 8QLRQ 7KHUH VHHPV WR EH VRPH FRQVHQVXV WKDW (XURSHDQJDVPDUNHWVXQWLOQRZKDYHEHHQSRRUO\LQWHJUDWHG:HH[DPLQHWKLVLVVXHZLWK WKHDLPRISURYLGLQJVRPHHVWLPDWHVRIWKHGHJUHHRIPDUNHWLQWHJUDWLRQLQWKHJDVPDUNHW GXULQJWKHV

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

,Q WKLV SDSHU ZH ILUVW IRFXV RQ WKH GHJUHH RI PDUNHW LQWHJUDWLRQ LQ WKH )UHQFK PDUNHWIRUQDWXUDOJDV)XUWKHUPRUHZHLQYHVWLJDWHWKHOLQNEHWZHHQWKH)UHQFK*HUPDQ DQG%HOJLDQPDUNHW:HIRFXVRQWKH)UHQFKLPSRUWVIURPWKHWKUHHODUJHVWSURYLGHUVRI QDWXUDOJDV±WKH1HWKHUODQGV1RUZD\DQG5XVVLD7KLVLVVLPLODUWR$VFKH2VPXQGVHQ DQG7YHWHUnV>@ZKHUHWKHUHODWLRQVKLSEHWZHHQQDWXUDOJDVIURPWKHWKUHHVXSSOLHUVLV LQYHVWLJDWHG LQ *HUPDQ\ +RZHYHU LQ DGGLWLRQ WR LQYHVWLJDWLQJ ZKHWKHU WKH )UHQFK PDUNHWIRUQDWXUDOJDVLVLQWHJUDWHGZHDOVRLQYHVWLJDWHWKHOLQNEHWZHHQWKH)UHQFKDQG WKH*HUPDQDQG%HOJLDQPDUNHWV7KLVLVRILQWHUHVWVLQFHLWZLOOJLYHLQIRUPDWLRQDERXW

WKHH[WHQWWRZKLFKH[LVWLQJSLSHOLQHLQIUDVWUXFWXUHDQGPDUNHWVWUXFWXUHDOORZHIILFLHQW DUELWUDJHEHWZHHQ)UDQFHDQG*HUPDQ\%HOJLXP

:H LQYHVWLJDWH WKH GHJUHH RI PDUNHW LQWHJUDWLRQ LQ WKH )UHQFK PDUNHW E\

H[DPLQLQJWKHUHODWLRQVKLSEHWZHHQWKHLPSRUWSULFHVIURPWKHWKUHHPDLQVXSSOLHUVWKH 1HWKHUODQGV 1RUZD\ DQG 5XVVLD 7KH UHODWLRQVKLS EHWZHHQ WKH )UHQFK *HUPDQ DQG

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±DVZHOODV$OJHULDVHH0DEURDQG:\EUHZ%RQG

>@DQG6WRSSDUG>@

:LWKWKHH[FHSWLRQRI$VFKH2VPXQGVHQDQG7YHWHUnV>@OLWWOHHPSLULFDOZRUN KDVEHHQFDUULHGRXWZLWKUHVSHFWWRWKHH[WHQWRIWKHPDUNHWIRUQDWXUDOJDVLQ(XURSH +RZHYHUWKHEDVLFPHWKRGRORJLFDODSSURDFKKDVEHHQXVHGLQVHYHUDOVWXGLHVRI86JDV PDUNHWV'RDQDQG6SXOEHU>@:DOOV>@'H9DQU\DQG:DOOV>@6HUOHWLVDQG+HUEHUW

>@ :H ZLOO XVH VRPH UHFHQW GHYHORSPHQW LQ PHWKRGV DQG WKHRU\ WR LQFUHDVH WKH LQIRUPDWLRQDOFRQWHQWRIWKHVHWHVWV6LQFHZHXVHWKH-RKDQVHQWHVW-RKDQVHQ>@>@

ZKHQWHVWLQJIRUFRLQWHJUDWLRQZHFDQDOVRWHVWSDUDPHWHUUHVWULFWLRQVRQWKHFRLQWHJUDWLRQ SDUDPHWHUV ,Q WKLV FRQWH[W LW LV RI SDUWLFXODU LQWHUHVW WR WHVW IRU WKH /DZ RI 2QH 3ULFH 0RUHRYHU $VFKH %UHPQHV DQG :HVVHOOV >@ KDYH VKRZQ WKDW ZKHQ WKH /DZ RI 2QH 3ULFH KROGV WKH JHQHUDOL]HG FRPSRVLWH FRPPRGLW\ WKHRUHP RI /HZEHO >@ ZLOO KROG

+HQFHWKHPDUNHWLQWHJUDWLRQWHVWVFDQDOVRFRQWDLQLQIRUPDWLRQDERXWZKHWKHUWKHJRRGV LQTXHVWLRQFDQEHDJJUHJDWHG

7KHSDSHULVRUJDQL]HGDVIROORZV6HFWLRQWZRSURYLGHVDSUHVHQWDWLRQRIWKH)UHQFK QDWXUDO JDV PDUNHW ,Q 6HFWLRQ WKUHH WKH IHDWXUHV RI JDV VDOHV FRQWUDFWV DUH DQDO\]HG 6HFWLRQIRXUSUHVHQWVWKHPDUNHWLQWHJUDWLRQWKHRU\DQGWHVWPHWKRGRORJ\WKDWZHXWLOL]HLQ RXU HPSLULFDO DQDO\VLV 7KH HPSLULFDO DQDO\VLV RI LPSRUW SULFHV LV XQGHUWDNHQ DQG H[SODQDWLRQVIRUSULFHGLIIHUHQFHVDUHJLYHQLQ6HFWLRQILYH)LQDOO\6HFWLRQVL[SURYLGHV FRQFOXGLQJUHPDUNV

7KH1DWXUDO*DV0DUNHW)UDQFH*HUPDQ\DQG%HOJLXP

,QWKLVVHFWLRQZHSURYLGHDGHVFULSWLRQRILPSRUWDQWFKDUDFWHULVWLFVRIWKH)UHQFKQDWXUDO JDV PDUNHW :H DOVR WRXFK XSRQ WKH *HUPDQ DQG %HOJLDQ JDV PDUNHWV VLQFH ZH ZLOO LQFOXGHWKHVHODWHULQWKHPDUNHWLQWHJUDWLRQDQDO\VLV

1DWXUDOJDVKDGDVKDUHRIWRWDOHQHUJ\VXSSO\LQ)UDQFHLQ>@7KLV LV VRPHZKDW VPDOOHU WKDQ LQ PDQ\ RWKHU (XURSHDQ FRXQWULHV )RU H[DPSOH LQ WKH WZR RWKHUFRXQWULHVZHDQDO\]HLQWKLVVWXG\*HUPDQ\DQG%HOJLXPQDWXUDOJDVFRQVWLWXWHG DQG UHVSHFWLYHO\ RI WRWDO HQHUJ\ VXSSO\ 7KH PDLQ VRXUFH RI HQHUJ\ LQ )UDQFHLVQXFOHDUSRZHUZLWKDPDUNHWVKDUHRI+RZHYHUQDWXUDOJDVLVH[SHFWHG WRREWDLQLQFUHDVLQJPDUNHWVKDUHVLQWKHIXWXUH

,Q)UDQFHFRQVXPHGELOOLRQFXELFPHWHUEFPRIQDWXUDOJDVPDNLQJLW WKH^WKODUJHVWPDUNHWLQFRQWLQHQWDOZHVWHUQ(XURSH,QGLJHQRXVSURGXFWLRQZDVRQO\

EFPRURIWRWDOJURVVFRQVXPSWLRQZKLOHEFPZDVLPSRUWHG,QRWKHUZRUGV WKHLPSRUWVKDUHZDV)RU*HUPDQ\DQG%HOJLXPWKHLPSRUWVKDUHVRIGRPHVWLF

FRQVXPSWLRQZDVDQGUHVSHFWLYHO\)UHQFKJDVLPSRUWVLQFUHDVHGGXULQJWKH GDWDSHULRGEXWOHVVWKDQLQ*HUPDQ\7KHLPSRUWVKDUHZDVDERYHLQDOO

\HDUV

7KHPDLQSLSHOLQHVXSSOLHUVRIQDWXUDOJDVWR)UDQFHDUHWKH1HWKHUODQGV1RUZD\

DQG5XVVLD,Q1RUZD\ZDVWKHODUJHVWVXSSOLHUEFP IROORZHG E\ 5XVVLD EFPDQGWKH1HWKHUODQGVEFP>@,WVKRXOGDOVREH QRWHG WKDW $OJHULD VXSSOLHGEFP/1*WR)UDQFHLQ

7KH )UHQFK JDV VHFWRU LV GRPLQDWHG E\*D] GH )UDQFH *') D VWDWHRZQHG FRPSDQ\ZKLFKXQWLOQRZKDVHQMR\HGPRQRSRO\ULJKWVRYHULPSRUWVDQGH[SRUWVDODUJH SDUWRIWKHWUDQVSRUWDWLRQV\VWHPDQGWKHPRVWRIWKHGLVWULEXWLRQQHWZRUN0RVWRIWKH JDVWRHQGXVHUVVHUYHGE\WKHORZSUHVVXUHJULGLVVXSSOLHGE\*')$ODUJHSURSRUWLRQ RI WKH QRQ*') GLVWULEXWRUV DUH DOVR VXSSOLHG E\ *') WKURXJK LWV WUDQVSRUWDWLRQ V\VWHP>@,Q%HOJLXPWKHFRPSDQ\'LVWULJD]KDVHQMR\HGDVLPLODUSRVLWLRQDV*') ZLWK PRQRSRO\ ULJKWV RQ LPSRUWV DQG WUDQVSRUWDWLRQ 'LVWULJD] LV DOVR D PDMRU WUDQVLW FRPSDQ\IRU'XWFKDQG1RUZHJLDQJDVWR)UDQFHDQGVLQFHIRU,QWHUFRQQHFWRUJDV IURPWKH8.WR)UDQFH*HUPDQ\DQGWKH1HWKHUODQGV7KHVLWXDWLRQLQWKHLPSRUWDQG WUDQVPLVVLRQ VHJPHQWV KDV EHHQ VRPHZKDW GLIIHUHQW LQ *HUPDQ\ WKDQ LQ )UDQFH DQG

%HOJLXP ZLWK VHYHQ JDV LPSRUWHUV LQ DOWKRXJK ZLWK5XKUJDV DV WKH GRPLQDQW LPSRUWHU ZLWK RI WRWDO LPSRUWV LQ >@ ,Q WUDQVPLVVLRQPHUFKDQW FRPSDQLHV)HUQJDVJHVHOOVFKDIWHQZHUHRSHUDWLQJRQWKH*HUPDQPDUNHW>@

*')¶VLPSRUWPRQRSRO\PHDQVWKDWLWKDVQHJRWLDWHG)UHQFKJDVVXSSO\FRQWUDFWV ZLWKWKH1HWKHUODQGV1RUZD\DQG5XVVLD>@+HQFHWKHFRPSDQ\VKRXOGKDYHEHHQLQ DQH[FHOOHQWSRVLWLRQWRH[SORLWDUELWUDJHRSSRUWXQLWLHV+RZHYHUWKLVPD\QRWQHFHVVDULO\

LPSO\ WKDW *)' KDV REWDLQHG WKH VDPH SULFHV IRU JDV IURP WKHVH FRXQWULHV /RQJWHUP FRQWUDFWVZLWKIRUHLJQVXSSOLHUVZHUHVLJQHGLQGLIIHUHQWWLPHSHULRGVWKHVXSSOLHUVPD\

QRW KDYH EHHQ LQ WKH VDPH EDUJDLQLQJ SRVLWLRQ DQG WKH FRQWUDFWV PD\ DOVR KDYH KDG GLIIHUHQWUHTXLUHPHQWVZLWKUHVSHFWWRVZLQJHWF

7KHJDVVDOHVFRQWUDFWV

(XURSHDQ LPSRUW FRQWUDFWV KDYH D QXPEHU RI GHWDLOHG VSHFLILFDWLRQV RQ WKH JDV WR EH GHOLYHUHG7KHQDWXUDOJDVLVSURFHVVHGIURPWKHVHOOHUVWRVDWLVI\VWULFWUHTXLUHPHQWVZLWK UHVSHFW WR TXDOLW\ ,Q UHJXODWLQJ FRQWUDFWLQJ YROXPHV WKH H[SRUWLQJ DQG WKH LPSRUWLQJ FRPSDQLHV KDYH FRQIOLFWLQJ LQWHUHVWV 6LQFH JDV VWRUDJH LV H[SHQVLYH DQG LQ OLPLWHG VXSSO\WKHLPSRUWHUZRXOGOLNHWRKDYHIOH[LELOLW\ZLWK UHVSHFW WR YROXPHV WKXV EHLQJ DEOHWRDGMXVWWRFKDQJHVLQGRZQVWUHDPGHPDQG'HPDQGIOXFWXDWHVHVSHFLDOO\RYHUWKH VHDVRQV ZLWK D KLJKHU GHPDQG LQ ZLQWHU WKDQ LQ VXPPHU 7KH H[SRUWHUV RQ WKH RWKHU KDQG KDYH WR VLQN ODUJH LUUHYHUVLEOH LQYHVWPHQWV LQ H[WUDFWLRQ SURFHVVLQJ DQG WUDQVSRUWDWLRQIDFLOLWLHV%HIRUHGRLQJVRWKH\ZRXOGOLNHWRKDYHDVVXUDQFHVWKDWWKH\ZLOO EHDEOHWRVHOOWKHJDVRYHUDFRQVLGHUDEOHSHULRGRIWLPHWKXVVHFXULQJDUHWXUQRQWKHLU LQYHVWPHQWV$OVRWRH[SORLWWKHH[WUDFWLRQSURFHVVLQJDQGWUDQVSRUWDWLRQFDSDFLW\ WKH VHOOHUZRXOGSUHIHUWRGHOLYHUDVWDEOHJDVVWUHDPDWPD[LPXPFDSDFLW\XWLOL]DWLRQ7KH H[SRUWHUZRXOG±EHIRUHPDNLQJODUJHLUUHYHUVLEOHLQYHVWPHQWV±SUHIHUDVSHFLILFSULFHD PLQLPXPSULFHRURWKHUW\SHVRISULFHJXDUDQWHHVIRUWKHHQWLUHSHULRGRIGHOLYHU\7KH EX\HUV RQ WKH RWKHU KDQG ZRXOG OLNH WKH JDV SULFH WR EH UHVSRQVLYH WR WKH SULFH RI VXEVWLWXWHVVXFKDVRLOSURGXFWVVRWKDWWKH\DUHDEOHWRVHOOWKHJDV

7KH FKDOOHQJLQJ WDVN IRU JDV FRQWUDFW GHVLJQ LV WR WUDGH RII WKHVH FRQIOLFWLQJ LQWHUHVWV ZLWK UHVSHFW WR YROXPH DQG SULFH 7KH H[DFW FRQWHQWV RI WKHVH FRQWUDFWV DUH VHFUHWEXWWKHJHQHUDOFRQWUDFWVWUXFWXUHLVFRPPRQNQRZOHGJHLQWKHJDVLQGXVWU\7KH PDMRUSDUWRIJDVH[SRUWWR)UDQFHLQWKHSHULRGZDVVROGRQORQJWHUPWDNHRU SD\FRQWUDFWVVHH%UDXWDVHWHWDO>@,QWKHVHFRQWUDFWVWKHEX\HUDJUHHVWRUHFHLYHD FHUWDLQYROXPHRIJDVSHU\HDURUDOWHUQDWLYHO\WRSD\IRUWKHSDUWRIWKLVJDVYROXPHWKDW LWGRHVQRWOLNHWRUHFHLYH$WWKHVDPHWLPHWKHEX\HUKDVDQRSWLRQWRWDNHRXWPRUHJDV WKDQWKHVHPLQLPXPDQQXDODPRXQWVWKXVFRQYH\LQJVRPHIOH[LELOLW\6XEVWDQWLDOYROXPH IOH[LELOLW\LVDOVRDYDLODEOHRQDGDLO\EDVLV

7KH FXUUHQW SULFH RQ JDV GHOLYHUHG DFFRUGLQJ WR WKH ORQJWHUP WDNHRUSD\

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¶HYDOXDWLRQRIWKHYDOXHRIWKHJDVDWWKHWLPHRIHQWHULQJWKHFRQWUDFW (DFKRIWKHDOWHUQDWLYHHQHUJ\FRPPRGLWLHVDUHDVVLJQHGDFHUWDLQZHLJKWLQWKHHVFDODWLRQ HOHPHQWUHIOHFWLQJWKHFRPSHWLWLYHVLWXDWLRQEHWZHHQQDWXUDOJDVDQGWKHVXEVWLWXWH7KH SULFHFKDQJHRIHDFKHQHUJ\FRPPRGLW\LVPXOWLSOLHGE\DQHQHUJ\FRQYHUVLRQIDFWRUWR PDNHWKHVXEVWLWXWHDQGQDWXUDOJDVFRPPHQVXUDEOH7KHUHDIWHUWKHLQGLYLGXDOHVFDODWLRQ

WHUPVDUHPXOWLSOLHGE\LPSDFWIDFWRUVLHWKHFKDQJHLQWKHSULFHRIWKHVXEVWLWXWHLVQRW IXOO\UHIOHFWHGLQWKHJDVSULFH

3ULFHEDVHGWHVWIRUPDUNHWLQWHJUDWLRQDQGDJJUHJDWLRQ

$ QXPEHU RI PDUNHW GHILQLWLRQV DUH EDVHG RQ WKH UHODWLRQVKLS EHWZHHQ SULFHV )RU LQVWDQFH6WLJOHU>@SGHILQHVDPDUNHWDV³WKHDUHDZLWKLQZKLFKWKHSULFHRID JRRG WHQGV WR XQLIRUPLW\ DOORZDQFHV EHLQJ PDGH IRU WUDQVSRUWDWLRQ FRVWV´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

7KH EDVLF UHODWLRQVKLS WR EH LQYHVWLJDWHG ZKHQ DQDO\]LQJ UHODWLRQVKLSV EHWZHHQ SULFHVLVWKHQ

W

W S

S OQ

OQ =a +b

ZKHUH a LV D FRQVWDQW WHUP WKH ORJ RI D SURSRUWLRQDOLW\ FRHIILFLHQW WKDW FDSWXUHV WUDQVSRUWDWLRQ FRVWV DQG TXDOLW\ GLIIHUHQFHV DQGb JLYHV WKH UHODWLRQVKLS EHWZHHQ WKH SULFHV,Ib WKHUHDUHQRUHODWLRQVKLSEHWZHHQWKHSULFHVZKLOHLIb WKH/DZRI2QH

3ULFH KROGV DQG WKH UHODWLYH SULFH LV FRQVWDQW ,Q WKLV FDVH WKH JRRGV LQ TXHVWLRQ DUH SHUIHFWVXEVWLWXWHV,IbLVGLIIHUHQWIURP]HUREXWQRWHTXDOWRRQHWKHUHLVDUHODWLRQVKLS EHWZHHQWKHSULFHVEXWWKHUHODWLYHSULFHLVQRWFRQVWDQWDQGWKHJRRGVZLOOEHLPSHUIHFW VXEVWLWXWHV2QHFDQDOVRVKRZWKDWLIbLVQHJDWLYHWKLVLPSOLHVWKDWWKHJRRGVLQTXHVWLRQ DUH FRPSOHPHQWV (TXDWLRQ GHVFULEHV WKH VLWXDWLRQ ZKHQ SULFHV DGMXVW LPPHGLDWHO\

+RZHYHURIWHQWKHUHZLOOEHDG\QDPLFDGMXVWPHQWSDWWHUQ7KLVFDQEHDFFRXQWHGIRUE\

LQWURGXFLQJ ODJV RI WKH WZR SULFHV >@ >@ ,W VKRXOG EH QRWHG KHUH WKDW HYHQ ZKHQ G\QDPLFVDUHLQWURGXFHGWKHORQJUXQUHODWLRQVKLSZLOOKDYHWKHVDPHIRUPDVHTXDWLRQ

7KHUHLVDOVRDFORVHOLQNEHWZHHQPDUNHWLQWHJUDWLRQDQGDJJUHJDWLRQ,Ib QRW RQO\GRWKH/DZRI2QH3ULFHKROGEXWDOVRWKHFRPSRVLWHFRPPRGLW\WKHRUHPRI+LFNV

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

,QPRVWDQDO\VHVWKHSURSRUWLRQDOLW\FRHIILFLHQWGRHVQRWUHFHLYHPXFKDWWHQWLRQ 7KLVLVRQO\QDWXUDOVLQFHLWLVWKHUHODWLRQVKLSEHWZHHQWKHSULFHVWKDWJLYHXVLQIRUPDWLRQ DERXWWKHGHJUHHRIPDUNHWLQWHJUDWLRQDQGWKDWLVUHOHYDQWIRUDJJUHJDWLRQ+RZHYHULQ RXUFRQWH[WDOVRWKHSURSRUWLRQDOLW\WHUPLVRILQWHUHVWDVLWKROGVLQIRUPDWLRQDERXWWKH

PHDQ GLIIHUHQFH EHWZHHQ WKH SULFHV ZKHQ WKH /DZ RI 2QH 3ULFH KROGV ,I WKH SURSRUWLRQDOLW\FRHIILFLHQWLVHTXDOWRRQHWKHFRQVWDQWWHUPaZLOOEH]HURDQGWKHWZR SULFHVDUHLGHQWLFDOH[FHSWIRUVWDWLRQDU\GHYLDWLRQV,IWKHSURSRUWLRQDOLW\ FRHIILFLHQW LV ODUJHURUOHVVWKHQRQHRUWKHFRQVWDQWWHUPaLVODUJHURUOHVVWKHQ]HURWKHUHZLOOEHD SULFHSUHPLXPLQRQHGLUHFWLRQ+HQFHLQRXUFDVHZLWKLGHQWLFDOSURGXFWVGHOLYHUHGDW WKHVDPHORFDWLRQDWHVWRIZKHWKHUWKHFRQVWDQWWHUPaLVGLIIHUHQWIURP]HURLVDWHVWIRU WKHH[LVWHQFHRIDULVNSUHPLXP

7UDGLWLRQDOO\UHODWLRQVKLSVOLNHHTXDWLRQRULWVG\QDPLFFRXQWHUSDUWKDVEHHQ HVWLPDWHG ZLWK RUGLQDU\ OHDVW VTXDUHV 2/6 +RZHYHU VLQFH WKH ODWH V RQH KDV EHFRPHDZDUHWKDWZKHQSULFHVDUHQRQVWDWLRQDU\WUDGLWLRQDOHFRQRPHWULFWRROVFDQQRWEH XVHGVLQFHQRUPDOLQIHUHQFHWKHRU\EUHDNVGRZQ>@&RLQWHJUDWLRQDQDO\VLVLVWKHQWKH DSSURSULDWHWRRO

:KLOHVWDWLRQDU\GDWDVHULHVKDVFRQVWDQWPHDQDQGYDULDQFHQRQVWDWLRQDU\GDWD VHULHVDUHLQJHQHUDOFKDUDFWHUL]HGE\DQRQFRQVWDQWPHDQDQGYDULDQFH+HXULVWLFDOO\RQH FDQVD\WKDWDQRQVWDWLRQDU\GDWDVHULHVKDVDVWUXFWXUDOEUHDNDWHDFKREVHUYDWLRQ7KLV VWUXFWXUDOEUHDNLVFDXVHGE\DQLQQRYDWLRQRULQDPDUNHWFRQWH[WQHZVUHOHYDQWIRUWKH GDWDVHULHV7KHUHDUHVHYHUDOUHDVRQVIRUZK\HFRQRPLFSULFHVHULHVFDQEHH[SHFWHGWREH QRQVWDWLRQDU\ ZKHUH 6DPXHOVRQ¶V >@ SURRI WKDW SULFHV PXVW EH QRQVWDWLRQDU\ IRU D PDUNHWWREHHIILFLHQWPRVWOLNHO\LVWKHPRVWFLWHG

7KH PRVW FRPPRQ WRRO IRU WHVWLQJ ZKHWKHU D GDWD VHULHV LV QRQVWDWLRQDU\ LV WKH

$XJPHQWHG 'LFNH\)XOOHU $') WHVW )RU HDFK LQGLYLGXDO GDWD VHULHV [W WKH $') VWDWLVWLFZLWKDWUHQGLVPHDVXUHGIURPWKHIROORZLQJUHJUHVVLRQ

W W N

W R

W 7 [ [

[ b b s a _g e

g gD +

+ + +

=

D _-

-

Ê

ZKHUHDLVWKHGLIIHUHQFHRSHUDWRUDQG7LVDWLPHWUHQG,IWKHWUHQGYDULDEOHLVUHPRYHG IURPWKHUHJUHVVLRQWKHWHVWLVUHIHUUHGWRDVDQ$')WHVWZLWKDFRQVWDQWWHUP7KHODJ OHQJWKNLVVHWWRPDNHWKHHUURUWHUPZKLWHQRLVH>@8VLQJWKHOHYHOIRUPVRIHDFK VHULHV WKH QXOO K\SRWKHVLV LV WKDW HDFK GDWD VHULHV LV QRQVWDWLRQDU\ 7KH DOWHUQDWLYH K\SRWKHVLVRIVWDWLRQDULW\LPSOLHVWKDWsLVOHVVWKHQ]HUR,IWKHK\SRWKHVLVLVQRWUHMHFWHG WKHWHVWLVUHSHDWHGXVLQJWKHILUVWGLIIHUHQFHVRIHDFKSULFHVHULHV,QWKLVFDVHWKHQXOO K\SRWKHVLVLVQRQVWDWLRQDU\LQILUVWGLIIHUHQFHV

7KH FRLQWHJUDWLRQ DSSURDFK PD\ EH UHSUHVHQWHG DV IROORZV &RQVLGHU WZR GDWD VHULHV RI HFRQRPLF YDULDEOHV[W DQG\W (DFK VHULHV LV E\ LWVHOI QRQVWDWLRQDU\ DQG LV UHTXLUHG WR EH GLIIHUHQFHG RQFH WR SURGXFH D VWDWLRQDU\ VHULHV ,Q JHQHUDO D OLQHDU FRPELQDWLRQ RI QRQVWDWLRQDU\ GDWD VHULHV ZLOO EH QRQVWDWLRQDU\ ,Q WKLV FDVH WKHUH LV QR ORQJUXQUHODWLRQVKLSEHWZHHQWKHGDWDVHULHV+RZHYHUZKHQWKHGDWDVHULHVIRUPDORQJ UXQUHODWLRQVKLSWKHGDWDVHULHVZLOOPRYHWRJHWKHURYHUWLPHDQGDOLQHDUFRPELQDWLRQRI WKHGDWDVHULHV

\_W -y[_W =e_W

ZLOOSURGXFHDUHVLGXDOVHULHVe_WZKLFKLVVWDWLRQDU\,QWKLVFDVHWKHVHULHV[_WDQG\_WDUH VDLG WR EH FRLQWHJUDWHG ZLWK WKH YHFWRU >y@ DV WKH FRLQWHJUDWLRQ YHFWRU >@ 7KLV LV VWUDLJKWIRUZDUGWRH[WHQGWRDPXOWLYDULDWHFDVH7KHUHODWLRQVKLSEHWZHHQ6WLJOHU¶V>@

PDUNHWGHILQLWLRQ DQG FRLQWHJUDWLRQ LV HYLGHQW ,Q 6WLJOHU¶V GHILQLWLRQ D VWDEOH ORQJUXQ UHODWLRQVKLSEHWZHHQSULFHVLPSOLHVWKDWJRRGVDUHLQWKHVDPHPDUNHW)RUQRQVWDWLRQDU\

SULFHVHULHVFRLQWHJUDWLRQLVWKHRQO\FLUFXPVWDQFHZKHQWKHSULFHVIRUPDVWDEOHORQJUXQ UHODWLRQVKLS

7ZRGLIIHUHQWWHVWVIRUFRLQWHJUDWLRQDUHFRPPRQO\XVHGLQWKHOLWHUDWXUH7KH\DUH WKH(QJOHDQG*UDQJHUWHVW>@DQGWKH-RKDQVHQWHVW>@>@:HZLOOKHUHXVHWKHODWWHU VLQFHK\SRWKHVLVWHVWLQJRQWKHSDUDPHWHUVLQWKHFRLQWHJUDWLRQYHFWRULVSRVVLEOHRQO\LQ WKLVIUDPHZRUN

7KH-RKDQVHQWHVWLVEDVHGRQDYHFWRUDXWRUHJUHVVLYH9$5V\VWHP$YHFWRU[_W FRQWDLQLQJWKH1YDULDEOHVWREHWHVWHGIRUFRLQWHJUDWLRQDUHDVVXPHGWREHJHQHUDWHGE\

DQXQUHVWULFWHGN^WKRUGHUYHFWRUDXWRUHJUHVVLRQLQWKHOHYHOVRIWKHYDULDEOHV

[_W =P[_W-++P_N[_W-N +m+H_W ZKHUHHDFKRIWKHP_LLVD1™1PDWUL[RISDUDPHWHUVmDFRQVWDQWWHUPDQGe_W~LLGW 7KH9$5V\VWHPRIHTXDWLRQVLQZULWWHQLQHUURUFRUUHFWLRQIRUP(&0LV

D[_W G D_L [ P [

L N

W L . W N HW

= + + +

= -

- -

Ê

m

ZLWK G_L =-, +P++P_L L=N- DQG G_L =-,+P++P_L L=N- +HQFHP_.LVWKHORQJUXQOHYHOVROXWLRQWR,I[_WLVDYHFWRURI,YDULDEOHVWKH OHIWKDQGVLGHDQGWKHILUVWNHOHPHQWVRIDUH,DQGWKHODVWHOHPHQWRILVD OLQHDU FRPELQDWLRQ RI, YDULDEOHV *LYHQ WKH DVVXPSWLRQ RQ WKH HUURU WHUP WKLV ODVW HOHPHQW PXVW DOVR EH , P_.[_W-N~, +HQFH HLWKHU [_W FRQWDLQV D QXPEHU RI FRLQWHJUDWLRQYHFWRUVRUP_.PXVWEHDPDWUL[RI]HURV7KHUDQNRIP_.UGHWHUPLQHV KRZ PDQ\ OLQHDU FRPELQDWLRQV RI[_W DUH VWDWLRQDU\ ,IU 1 WKH YDULDEOHV LQ OHYHOV DUH VWDWLRQDU\ LIU VR WKDWP_. QRQH RI WKH OLQHDU FRPELQDWLRQV DUH VWDWLRQDU\ :KHQ

U1WKHUHH[LVWUFRLQWHJUDWLRQYHFWRUV£RUUVWDWLRQDU\OLQHDUFRPELQDWLRQVRI[_W,Q WKLVFDVHRQHFDQIDFWRUL]HP_.-P_. =ab‡ZKHUHERWKaDQGbDUH1™UPDWULFHVDQG bFRQWDLQVWKHFRLQWHJUDWLRQYHFWRUVWKHHUURUFRUUHFWLQJPHFKDQLVPLQWKHV\VWHPDQGa WKHDGMXVWPHQWSDUDPHWHUV7ZRDV\PSWRWLFDOO\HTXLYDOHQWWHVWVH[LVWLQWKLVIUDPHZRUN WKHWUDFHWHVWDQGWKHPD[LPXPHLJHQYDOXHWHVW

7KH-RKDQVHQSURFHGXUHDOORZVK\SRWKHVLVWHVWLQJRQWKHFRHIILFLHQWVaDQGb XVLQJ OLNHOLKRRG UDWLR WHVWV >@ ,Q RXU FDVH LW LV UHVWULFWLRQV RQ WKH SDUDPHWHUV LQ WKH FRLQWHJUDWLRQYHFWRUVbZKLFKDUHRIPRVWLQWHUHVW0RUHVSHFLILFDOO\LQWKHELYDULDWHFDVH WKHUHDUHWZRSULFHVHULHVLQWKH[WYHFWRU3URYLGHGWKDWWKHSULFHVHULHVDUHFRLQWHJUDWHG WKHUDQNRIP =ab‡LVHTXDOWRDQGaDQGbDUH[YHFWRUV2ISDUWLFXODULQWHUHVWLVWKH /DZRI2QH3ULFH/23ZKLFKFDQEHWHVWHGE\LPSRVLQJWKHUHVWULFWLRQb ,QWKH PXOWLYDULDWH FDVH ZKHQ DOO SULFHV KDYH WKH VDPH VWRFKDVWLF WUHQG WKHUH PXVW EHQ FRLQWHJUDWLRQYHFWRUVLQWKHV\VWHPDQGHDFKFRLQWHJUDWLRQYHFWRUPXVWVXPWR]HURIRUWKH /23WRKROG,WWKHQIROORZVIURPWKHLGHQWLILFDWLRQVFKHPHRI-RKDQVHQDQG-XVHOLXV>@

WKDWHDFKFRLQWHJUDWLRQYHFWRUFDQEHUHSUHVHQWHGVRWKDWDOOEXWWZRHOHPHQWVDUH]HUR :KHQWKHLGHQWLI\LQJQRUPDOL]DWLRQLVLPSRVHG LQ WKH FDVH ZLWK WKUHH SULFH VHULHV RQH UHSUHVHQWDWLRQRIWKHPDWUL[RIFRLQWHJUDWLRQYHFWRUVDUH

ßß ß à Þ ÏÏ

Ï Ð Î

- -

=

b b

b

,IERWKbSDUDPHWHUVDUHHTXDOWRWKH/23KROGV

5HFHQWO\ D QXPEHU RI VWXGLHV KDYH XVHG FRLQWHJUDWLRQ DQDO\VLV WR LQYHVWLJDWLQJ UHODWLRQVKLSVEHWZHHQSULFHV([DPSOHVUHODWHGWRHQHUJ\PDUNHWVDUH'RDQHDQG6SXOEHU

>@6DXHU>@:DOOV>@*M¡OEHUJDQG-RKQVHQ>@'H9DQ\DQG:DOOV>@6HUOHWLVDQG +HUEHUW>@DQG$VFKH2VPXQGVHQDQG7YHWHUnV>@

(PSLULFDOUHVXOWV

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

)LJXUH,PSRUWSULFHVWR)UDQFH

%HIRUH D VWDWLVWLFDO DQDO\VLV RI WKH UHODWLRQVKLSV FDQ EH FDUULHG RXW ZH PXVW LQYHVWLJDWH WKH WLPH VHULHV SURSHUWLHV RI WKH GDWD $XJPHQWHG 'LFNH\)XOOHU WHVWV ZHUH FDUULHGRXWIRUWKHSULFHVHULHV7KHUHVXOWVDUHUHSRUWHGLQ7DEOHEHORZ

<HDU

86'EWX

5XVVLD

1HWKHUODQGV

1RUZD\

7DEOH'LFNH\)XOOHUWHVWV

9DULDEOH 3ULFHOHYHOV )LUVWGLIIHUHQFHV

ZLWKFRQVWDQW ZLWKWUHQG ZLWKFRQVWDQW ZLWKWUHQG ,QWR)UDQFHIURP

5XVVLD 1HWKHUODQGV 1RUZD\

)URP1HWKHUODQGVWR

*HUPDQ\

%HOJLXP

,QGLFDWHVVLJQLILFDQWDWDOHYHODQGLQGLFDWHVVLJQLILFDQWDWDOHYHO&ULWLFDOYDOXHVDUHDWD OHYHOZLWKFRQVWDQWDQGZLWKWUHQG

$OO SULFHV DUH IRXQG WR EH QRQVWDWLRQDU\ EXW VWDWLRQDU\ LQ ILUVW GLIIHUHQFHV 7KH UHVXOWVDUHVWDEOHZLWKUHVSHFWWRWKHFKRLFHRIODJOHQJWK+HQFHFRLQWHJUDWLRQDQDO\VLVLV WKHDSSURSULDWHWRROZKHQLQYHVWLJDWLQJWKHUHODWLRQVKLSVEHWZHHQWKHSULFHV

7KH ILUVW WHVW ZH SHUIRUP LV D PXOWLYDULDWH -RKDQVHQ WHVW RQ WKH WKUHH )UHQFK LPSRUWSULFHV6L[ODJVVHHPVWREHVXIILFLHQWWRPRGHOWKHVKRUWUXQG\QDPLFVDV/0 WHVWV IRU DXWRFRUUHODWLRQ XS WR WKH ^WK RUGHU JLYHV WKH IROORZLQJ WHVW VWDWLVWLFV ZLWKS YDOXHVLQWKHSDUHQWKHVLV,QWKHHTXDWLRQIRU5XVVLDQJDVIRU'XWFKJDV DQGIRU1RUZHJLDQJDV7KHUHVXOWVIURPWKHFRLQWHJUDWLRQ WHVWDUHUHSRUWHGLQ7DEOHEHORZ

7DEOH0XOWLYDULDWH-RKDQVHQ7HVWRI)UHQFK,PSRUW3ULFHV

+UDQN S 0D[WHVW &ULWLFDOYDOXH 7UDFHWHVW &ULWLFDOYDOXH S

S S

,QGLFDWHVVLJQLILFDQWDWDOHYHODQGLQGLFDWHVVLJQLILFDQWDWDOHYHO

%RWKWKHPD[DQGWKHWUDFHWHVWLQGLFDWHWKDWWKHUHDUHWZRFRLQWHJUDWLRQYHFWRUV DQGKHQFHRQHFRPPRQVWRFKDVWLFWUHQG:KHQZHWHVWIRU/23ZHFDQQRWUHMHFWWKHQXOO K\SRWKHVLVWKDWWKLVKROGV7KHWHVWLVGLVWULEXWHGDVcDQGWKHWHVWVWDWLVWLFLV ZLWK D SYDOXH RI :H DOVR WHVW WKH K\SRWKHVLV WKDW WKHUH DUH QR V\VWHPDWLF GLIIHUHQFHVLQWKHSULFHOHYHOV7KHWHVWLVGLVWULEXWHGDVcDQGWKHWHVWVWDWLVWLFLV ZLWKDSYDOXHRI+HQFHDOVRWKLVK\SRWKHVLVLVVXSSRUWHGE\WKHGDWDDOWKRXJK ZLWKDSYDOXHDVORZDVWKHVXSSRUWLVQRWYHU\VWURQJ7KHVHUHVXOWVLQGLFDWHWKDW WKHJDVIURPWKHWKUHHVXSSOLHUVFRPSHWHFORVHO\LQWKHVDPHPDUNHWDVWKHSULFHVPRYH SURSRUWLRQDOO\RYHUWLPH0RUHRYHULQFRQWUDVWWRWKHUHVXOWVRI$VFKH2VPXQGVHQDQG 7YHWHUnV>@IRUWKH*HUPDQPDUNHWWKHUHGRHVQRWVHHPWREHDQ\V\VWHPDWLFGLIIHUHQFHV LQWKHSULFHOHYHOV)LQDOO\WKHGHJUHHRIPDUNHWLQWHJUDWLRQLVVRKLJKWKDWWKHJHQHUDOL]HG FRPSRVLWHFRPPRGLW\WKHRUHPRI/HZEHO>@KROGV+HQFHJDVIURPWKHWKUHHVXSSOLHUV FDQEHDJJUHJDWHGLQWRDVLQJOHFRPPRGLW\ZLWKDVLQJOHSULFH

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

WKUHHSRWHQWLDOO\SDLUVRIZKLFKRQO\WZRDUHOLQHDUO\LQGHSHQGHQW+RZHYHUVLQFHWKH WKHRU\JLYHVXVQRJXLGDQFHDERXWZKLFKSULFHWRQRUPDOL]HXSRQZHHVWLPDWHDOOWKUHH SRWHQWLDOSDLUVHYHQWKRXJKRQHRIWKHPLVUHGXQGDQW

7KHUHVXOWVDUHSURYLGHGLQWKHILUVWVHFWLRQRI7DEOH

7DEOH%LYDULDWH-RKDQVHQWHVWVIRUFRLQWHJUDWLRQDQG/23

9DULDEOHV +UDQN S 0D[WHVW 7UDFHWHVW /23^D &RQVWDQWWHUPZLWK /23LPSRVHG

1RSULFH GLIIHUHQFH^E

$5^F

,QWR)UDQFH 5XVVLDDQG 1HWKHUODQGV 5XVVLDDQG 1RUZD\

1HWKHUODQGVDQG 1RUZD\

)URP1HWKHUODQGV )UDQFHDQG

*HUPDQ\

%HOJLXPDQG )UDQFH

S S S S S S

S S S S

LQGLFDWHVVLJQLILFDQWDWDOHYHODQGLQGLFDWHVVLJQLILFDQWDWDOHYHO&ULWLFDOYDOXHVDWDOHYHOLVDQGUHVSHFWLYHO\IRUWKH0D[WHVWDQG DQGIRUWKH7UDFHWHVW

$OOQXPEHUVLQSDUHQWKHVLVDUHSYDOXHV

D7KHWHVWIRUWKH/DZRI2QH3ULFHLVGLVWULEXWHGDVcZLWKGHJUHHVRIIUHHGRP

E7KHWHVWIRUSULFHHTXDOLW\LVGLVWULEXWHGDVcZLWKGHJUHHVRIIUHHGRP

F$5LVD/0WHVWDJDLQVWDXWRFRUUHODWLRQXSWRWKH^WKRUGHUDQGLVGLVWULEXWHGDV)

*LYHQWKDWZHIRXQGWZRFRLQWHJUDWLRQYHFWRUVLQWKHPXOWLYDULDWHWHVWIRULPSRUW SULFHV LQWR )UDQFH LW LV DV H[SHFWHG WKDW HDFK RI WKH ELYDULDWH WHVWV LQGLFDWHV RQH FRLQWHJUDWLRQYHFWRU)XUWKHUPRUHWKH/23KROGVLQDOO UHODWLRQVKLSV DOWKRXJK WKHUH LV VRPHHYLGHQFHDJDLQVWWKLVK\SRWKHVLVLQWKHUHODWLRQVKLSEHWZHHQ5XVVLDQDQG1RUZHJLDQ JDVDVWKHSYDOXHLV1RWHDOVRWKDWWKHUHVHHPVWREHVRPHHYLGHQFHDJDLQVWWKH K\SRWKHVLVWKDW5XVVLDQDQG1RUZHJLDQSULFHVKDYHWKHVDPHOHYHODVWKHWHVWKHUHKDVD SYDOXHRI

:H WKHQ SURFHHG WR DQDO\]H WKH GHJUHH RI PDUNHW LQWHJUDWLRQ EHWZHHQ VHOHFWHG (XURSHDQFRXQWULHV7KHUHVXOWVLQWKLVSDSHULQGLFDWHWKDWWKHUHLVRQHPDUNHWIRUQDWXUDO JDVLQ)UDQFH*LYHQWKHUHVXOWVRI$VFKH2VPXQGVHQDQG7YHWHUn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

*HUPDQPDUNHWVDUHIXOO\LQWHJUDWHGRUZKHWKHUWKHUHLVDVPDOOZHGJHPDNLQJWKHWZR

PDUNHWVFORVHEXWLPSHUIHFWVXEVWLWXWHVIRU'XWFKVHOOHUV7KHUHLVDOVRVRPHHYLGHQFH DOWKRXJKQRWYHU\VWURQJWKDWSULFHVLQ*HUPDQ\DUHV\VWHPDWLFDOO\ORZHUWKDQLQ)UDQFH

&RQFOXGLQJUHPDUNV

,Q WKLV SDSHU ZH KDYH H[DPLQHG ERUGHU SULFHV RI QDWXUDO JDV GHOLYHUHG WR )UDQFH IURP 5XVVLD 1RUZD\ DQG WKH 1HWKHUODQGV LQ WKH SHULRG 0DUNHW LQWHJUDWLRQ WHVWV VKRZ WKDW WKH GLIIHUHQW EHDFK SULFHV IRU JDV WR )UDQFH PRYH SURSRUWLRQDOO\ RYHU WLPH LQGLFDWLQJDQLQWHJUDWHGJDVPDUNHW,QRWKHUZRUGVWKH/DZRI2QH3ULFHKROGV8QOLNH RXU SUHYLRXV VWXG\ RI *HUPDQ\ ZH ILQG VPDOO GLIIHUHQFHV LQ PHDQ SULFHV EHWZHHQ WKH WKUHHVXSSOLHUV7KLVLVVXUSULVLQJVLQFHWKHJDVVROGDFWXDOO\LVDFRPSRVLWHFRPPRGLW\

FRQWDLQLQJWKHJDVLWVHOIVZLQJVHUYLFHVDQGRWKHUFRPSRQHQWV'XWFKJDVSURGXFHUVDUH NQRZQ WR KDYH WKH EHVW WHFKQLFDO RSSRUWXQLWLHV WR VXSSO\ VZLQJ VHUYLFH 1RUZD\ FDQ VXSSO\ D IDLU VZLQJ FRPSRQHQW ZKHUHDV WKH 5XVVLDQV FDQ RQO\ GHOLYHU ZLWK D OLPLWHG DPRXQWRIVZLQJ'HVSLWHWKLVRXUUHVXOWVVXJJHVWWKDWWKH1HWKHUODQGVDQG1RUZD\KDYH QRWREWDLQHGDSULFHSUHPLXPIRUWKHLUJDVVXSSOLHVUHODWLYHWR5XVVLD

:HKDYHDOVRLQYHVWLJDWHGWKHOLQNEHWZHHQWKH)UHQFKPDUNHWDQG WKH *HUPDQ DQG %HOJLDQ PDUNHWV 7KH PDUNHW LQWHJUDWLRQ WHVWV LQGLFDWHV WKDW WKHUH LV D FORVH UHODWLRQVKLSEHWZHHQWKHVHPDUNHWVDVWKHSULFHVIROORZDVLPLODUSDWWHUQRYHUWLPHDQGLV YHU\PXFKDWWKHVDPHOHYHO+HQFHGHVSLWHWKHIHZVHOOHUVDQGLPSRUWHUVRIQDWXUDOJDVLQ WKHVHPDUNHWVWKHSULFHVEHKDYHVDVLIWKHPDUNHWVDUHZHOOLQWHJUDWHG

$VVHVVLQJWKHWDNHRUSD\FRQWUDFWVLWLVHYLGHQWWKDWWKH\UHSUHVHQWDFRPSURPLVH EHWZHHQ WKH VHOOHUV DQG WKH EX\HU¶V REMHFWLYHV ZLWK UHVSHFW WR YROXPH JXDUDQWHHV DQG IOH[LELOLW\$VIRUSULFHULVNWKHIL[HGWHUPLQWKHFRQWUDFWVLPSOLHVVWDELOLW\IRUWKHVHOOHU

ZKHUHDV WKH HVFDODWLRQ WHUPV LQ WKH SULFH IRUPXOD OLQNLQJ JDV SULFHV WR WKH SULFH RI VXEVWLWXWHV±LPSO\WKDWWKHVHOOHULVFDUU\LQJDSULFHULVN7KH)UHQFKJDVLPSRUWSULFHV KDYH LQ WKH SHULRG GLVSOD\HG D FRQVLGHUDEOH YRODWLOLW\ LQGLFDWLQJ WKDW WKH DFWXDO SULFH IRUPXODVLQWKHFRQWUDFWVFRQWDLQKLJKLPSDFWIDFWRUV$FFRUGLQJWRFRQWUDFWDQGLQFHQWLYH WKHRU\ RSWLPDO FRQWUDFW GHVLJQ LPSOLHV VKDULQJ WKH ULVN DPRQJ WKH FRQWUDFWLQJ SDUWLHV DFFRUGLQJWRWKHLUDELOLW\WRFDUU\ULVNLHDFFRUGLQJWRWKHLUULVNDYHUVLRQVHHJHQHUDO DQDO\VHVE\/DIIRQW>@DQG6DODQLp>@DQGDSSOLFDWLRQVLQWKHSHWUROHXPLQGXVWU\E\

2VPXQGVHQ>@7KXVWKHULVNVKDULQJLQWKHJDVVXSSO\FRQWUDFWVLVLQDFFRUGDQFHZLWK WKHRUHWLFDO UHFRPPHQGDWLRQV RQO\ WR WKH H[WHQW WKDW WKH EX\HU¶V FRPPHUFLDO DFWLYLW\ LV KLJKO\VHQVLWLYHWRLQWHUIXHOFRPSHWLWLRQ

:KDW LV PRVW VXUSULVLQJ ZLWK RXU UHVXOWV LV WKDW WKH KLJK GHJUHH RI FRUUHODWLRQ EHWZHHQSULFHVIURPGLIIHUHQWVXSSOLHUVDQGLQGLIIHUHQWPDUNHWVLPSOLHVWKDWWKHFRQWUDFWV DOODUHYHU\VLPLODU+HQFHLWVHHPVOLNHWKHGLIIHUHQW VWUXFWXUH LQ WKH HQHUJ\ VHFWRU LQ )UDQFHIURPWKDWLQ*HUPDQ\GRHVQRWOHDGWRFRQWUDFWVZKLFKUHIOHFWVWKDWWKHLPSRUWHUV DUHH[SRVHGWRGLIIHUHQWULVNV

$FNQRZOHGJHPHQWV

:HDUHJUDWHIXOWR6LJEM¡UQ7YHWHUnVIRUXVHIXOFRPPHQWVDQGVXJJHVWLRQV)LQDQFLDO VXSSRUWIURPWKH1RUZHJLDQ5HVHDUFK&RXQFLOLVJUDWHIXOO\DFNQRZOHGJHG

5HIHUHQFHV

$VFKH)2VPXQGVHQ3DQG7YHWHUnV5(XURSHDQ0DUNHW,QWHJUDWLRQ IRU*DV"9ROXPH)OH[LELOLW\DQG3ROLWLFDO5LVN61)5HSRUWQR%HUJHQ 1RUZD\

0DEUR5DQG,:\EUHZ%RQGHGV*DVWR(XURSH7KH6WUDWHJLHVRI )RXU 0DMRU 6XSSOLHUV &RQWULEXWRUV $OL $wVVDRXL 8OULFK %DUWVFK 0DOFROP 3HHEOHV -RQDWKDQ 6WHUQ DQG ,DQ :\EUHZ%RQG 2[IRUG ,QVWLWXWH IRU (QHUJ\

6WXGLHV

6WRSSDUG 0 $ 1HZ 2UGHU IRU *DV LQ (XURSH" 2[IRUG ,QVWLWXWH IRU (QHUJ\6WXGLHV

'RDQH0-DQG6SXOEHU')2SHQ$FFHVVDQGWKH5HYROXWLRQRIWKH 866SRW0DUNHWIRU1DWXUDO*DV-RXUQDORI/DZDQG(FRQRPLFV :DOOV:'3ULFH&RQYHUJHQFHDFURVV1DWXUDO*DV)LHOGDQG&LW\

0DUNHWV(QHUJ\-RXUQDO

'H 9DQ\ $ 6 DQG : ' :DOOV ³&RLQWHJUDWLRQ $QDO\VLV RI 6SRW (OHFWULFLW\

3ULFHV ,QVLJKWV RQ 7UDQVPLVVLRQ (IILFLHQF\ LQ WKH :HVWHUQ 86´ (QHUJ\

(FRQRPLFV

6HUOHWLV $ DQG +HUEHUW - 7KH 0HVVDJH LQ 1RUWK $PHULFDQ (QHUJ\

3ULFHV(QHUJ\(FRQRPLFV

-RKDQVHQ 6 6WDWLVWLFDO $QDO\VLV RI &RLQWHJUDWLRQ 9HFWRUV-RXUQDO RI (FRQRPLF'\QDPLFVDQG&RQWURO

-RKDQVHQ6(VWLPDWLRQDQG+\SRWKHVLV7HVWLQJRI&RLQWHJUDWLRQ9HFWRUV LQ*DXVVLDQ$XWRUHJUHVVLYH0RGHOV(FRQRPHWULFD

$VFKH)%UHPQHV+DQG:HVVHOOV&53URGXFW$JJUHJDWLRQ0DUNHW ,QWHJUDWLRQDQG5HODWLRQVKLSV%HWZHHQ3ULFHV$Q$SSOLFDWLRQWR:RUOG6DOPRQ 0DUNHWV$PHULFDQ-RXUQDORI$JULFXOWXUDO(FRQRPLFV

/HZEHO$$JJUHJDWLRQZLWKRXW6HSDUDELOLW\$*HQHUDOL]HG&RPSRVLWH

&RPPRGLW\7KHRUHP$PHULFDQ(FRQRPLF5HYLHZ KWWSZZZLHDRUJVWDWKWP

,($³1DWXUDO*DV,QIRUPDWLRQ´VHFWLRQ,,

0DLVVRQLHU*7KH(XURSHDQ*DV0DUNHW3OD\HUV&(',*$='HFHPEHU

(-& 1DWXUDO *DV 7UDGLQJ LQ (XURSH /LEHUDOLVDWLRQ DQG LWV ,PSDFW RQ /RQJ7HUP&RQWUDFWV5HSRUW(-&(QHUJ\$SULOS

%UDXWDVHW $ +¡LE\ ( 3HGHUVHQ 52 DQG &) 0LFKHOHW 1RUVN

*DVVDYVHWQLQJ 5HWWVOLJH +RYHGHOHPHQWHU 1RUZHJLDQ *DV 6DOHV 3ULQFLSDO -XULGLFDO)RXQGDWLRQV6M¡UHWWVIRQGHW2VOR

6WLJOHU*-³7KH7KHRU\RI3ULFH´0DFPLOODQ/RQGRQ

&RXUQRW $ $5HVHDUFKHV LQWR WKH 0DWKHPDWLFDO 3ULQFLSOHV RI WKH 7KHRU\ RI :HDOWK1HZ<RUN$0.HOO\

0DUVKDOO$3ULQFLSOHVRI(FRQRPLFV/RQGRQ0DFPLOODQ

6WLJOHU*-DQG6KHUZLQ5$7KH([WHQWRID0DUNHW-RXUQDORI/DZ DQG(FRQRPLFV

6XWWRQ-6XQN&RVWVDQG0DUNHW6WUXFWXUH&DPEULGJH0$0,73UHVV 5LFKDUGVRQ-'6RPH(PSLULFDO(YLGHQFHRQ&RPPRGLW\$UELWUDJHDQG

7KH/DZRI2QH3ULFH-RXUQDORI,QWHUQDWLRQDO(FRQRPLFV

5DYDOOLRQ 0 7HVWLQJ 0DUNHW ,QWHJUDWLRQ $PHULFDQ -RXUQDO RI

$JULFXOWXUDO(FRQRPLFV

6ODGH0(([RJHQHLW\7HVWRI0DUNHW%RXQGDULHV$SSOLHGWR3HWUROHXP 3URGXFWV-RXUQDORI,QGXVWULDO(FRQRPLFV

+LFNV-³9DOXHDQG&DSLWDO´2[IRUG8QLYHUVLW\3UHVV/RQGRQ

/HRQWLHI : &RPSRVLWH &RPPRGLWLHV DQG WKH 3UREOHP RI ,QGH[

1XPEHUV(FRQRPHWULFD

(QJOH5)DQG*UDQJHU&:-&RLQWHJUDWLRQDQG(UURU&RUUHFWLRQ 5HSUHVHQWDWLRQ(VWLPDWLRQDQG7HVWLQJ(FRQRPHWULFD

6DPXHOVRQ3$³3URRIWKDW3URSHUO\$QWLFLSDWHG3ULFHV)OXFWXDWH5DQGRPO\´

,QGXVWULDO0DQDJHPHQW5HYLHZ

*RUGRQ ' 9 ³2SWLRQDO /DJ /HQJWK LQ (VWLPDWLQJ 'LFNH\)XOOHU 6WDWLVWLFV$Q(PSLULFDO1RWH´$SSOLHG(FRQRPLF/HWWHUV

-RKDQVHQ 6 DQG -XVHOLXV . 0D[LPXP /LNHOLKRRG (VWLPDWLRQ DQG ,QIHUHQFHRQ&RLQWHJUDWLRQZLWK$SSOLFDWLRQVWRWKH'HPDQGIRU0RQH\2[IRUG

%XOOHWLQRI(FRQRPLFVDQG6WDWLVWLFV

-RKDQVHQ 6 DQG -XVHOLXV . 7HVWLQJ 6WUXFWXUDO +\SRWKHVLV LQ D 0XOWLYDULDWH&RLQWHJUDWLRQ$QDO\VLVRIWKH333DQGWKH8,3IRU8.-RXUQDORI (FRQRPHWULFV

6DXHU ' * 0HDVXULQJ (FRQRPLF 0DUNHWV IRU ,PSRUWHG &UXGH 2LO (QHUJ\-RXUQDO

*M¡OEHUJ2DQG-RKQVHQ75LVN0DQDJHPHQWLQWKH2LO,QGXVWU\&DQ ,QIRUPDWLRQRQ/RQJ5XQ(TXLOLEULXP3ULFHVEH8WLOL]HG(QHUJ\(FRQRPLFV 'HF

/DIIRQW--7KH(FRQRPLFVRI8QFHUWDLQW\DQG,QIRUPDWLRQ0,73UHVV

&DPEULGJH0DVVDFKXVHWWV

6DODQLp % 7KH (FRQRPLFV RI &RQWUDFWV 0,73UHVV &DPEULGJH 0DVVDFKXVHWWV

36. Osmundsen, P. (1999), "Risk Sharing and Incentives in Norwegian Petroleum Extraction", Energy Policy 27, 549-555.

%LEOLRJUDSKLFDOQRWHV

)UDQN$VFKHLVSURIHVVRURIHFRQRPLFVDWWKH8QLYHUVLW\&ROOHJHRI6WDYDQJHU1RUZD\

DQG WKH )RXQGDWLRQ IRU 5HVHDUFK LQ (FRQRPLFV DQG %XVLQHVV $GPLQLVWUDWLRQ %HUJHQ 1RUZD\+LVPDLQUHVHDUFKLQWHUHVWVLVLQWKHILHOGVRIUHVRXUFHHFRQRPLFVDQGPDUNHWV IRUSULPDU\SURGXFWV

3HWWHU 2VPXQGVHQ LV DVVRFLDWH SURIHVVRU RI SHWUROHXP HFRQRPLFV DW WKH 8QLYHUVLW\

&ROOHJHRI6WDYDQJHU1RUZD\DQGDGMXQFWSURIHVVRUDW1RUZHJLDQ6FKRRORI(FRQRPLFV DQG%XVLQHVV$GPLQLVWUDWLRQ+LVPDLQUHVHDUFKLQWHUHVWVDUHLQWKHILHOGVRISHWUROHXP HFRQRPLFVFRQWUDFWWKHRU\LQFHQWLYHWKHRU\UHJXODWLRQDQGWD[DWLRQ

5DJQDU 7YHWHUnV LV DVVRFLDWH SURIHVVRU RI HFRQRPLFV DW WKH 8QLYHUVLW\ &ROOHJH RI 6WDYDQJHU 1RUZD\ DQG WKH )RXQGDWLRQ IRU 5HVHDUFK LQ (FRQRPLFV DQG %XVLQHVV

$GPLQLVWUDWLRQ%HUJHQ1RUZD\+LVPDLQUHVHDUFKLQWHUHVWVLVLQWKHILHOGVRIUHVRXUFH HFRQRPLFVSURGXFHUEHKDYLRUDQGSURGXFWLYLW\DQDO\VLV