Statistics
| Number of Journals | 22 |
| Number of Issues | 512 |
| Number of Articles | 5,374 |
| Article View | 10,316,851 |
| PDF Download | 6,870,042 |
Iran’s Short term Natural Gas Pricing in the North-East Part Assumed Hub (According to Schwartz-Smith two factors model) | ||
| فصلنامه مطالعات اقتصادی کاربردی ایران | ||
| Article 2, Volume 5, Issue 20, January 2016, Pages 1-31 PDF (2.51 M) | ||
| Document Type: Research Article | ||
| DOI: 10.22084/aes.2016.1664 | ||
| Authors | ||
| teymoor mohammadi; hojatallah janimifard; atefah taklif; afshin javan* | ||
| Abstract | ||
| This paper examines the possibility of natural gas pricing in assumed hub formation in Northwestern Iran, in the Turkey border line for exporting natural gas to Europe by the Schwartz-Smith (S-S)two factors modelas a reduced form model. In the recent years European countries would like to purchasing natural gas in order to short term contracts and it seems in near future market movment is toward mentioned contract. However it is a good chance for Iran’s natural gas export to European countries additionaly evral ntruption of natural gas export convey from Russia to Europe will highlight Iran’s position in the natural gas trade to Europe.Based on the S-S model results stochastic range of natural gas price simulated for oil price between 35 to 100 $/bbl.Natural gas CIF dynamic simulation is based on average of six main European hubs,then according to net back calculation estimated natural gas FOB price in Iran’s North-East hub.According to the model results FOB average price ranges is between 232 to 335 $/1000 cubic Meters.Comparison long term and short term simulated price has not any significant diffrences and if Iran exercise short term contract can increase trade flexibility in market and also made an advantage from transit fee of nighburing countries who interested to develop natural gas export to European market.Hub formation can be applied as a natural gas pricing focal point for all the buyers. | ||
| Keywords | ||
| Natural Gas Hub; Calibration; Schwartz-Smith two factors model; Price dynamic simulation; Net Back Calculation | ||
| References | ||
|
جوان، افشین (1385). «بررسی تئوریک مدلهای قیمتگذاری گاز طبیعی»، فصلنامه مطالعات اقتصاد انرژی، شماره 8، 3-25. منظور، داود و نیاکان، لیلی (1391). «مدیریت ریسک در صنعت نفت و گاز کشور؛ ضرورتها و ابزارها»، نشریه انرژی ایران، 15 (1)، 18-1. Bachelier, L. (1900). “Th'eorie de la sp'eculation. Annales Scientifiques de l’Ecole Normale Sup'erieure”. (English Translation: In P. H. Cootner, editor, Random Character of Stock Market Prices), Massachusetts Institute of Technology: 17-78.
Benavides, D. L.; Duley, J. R and Johnson, B. E. (1999). “As Good as It Gets Optimal Fab Design and Deployment”. IEEE Transactions on Semiconductor Manufacturing, Vol. 12(3), 281-287.
Brit, D. and Rosellón, J. (2011); Lumpy Investment in Regulated Natural Gas Pipelines: An Application of the Theory of the Second Best”. Deutsches Institut für Wirtschaftsforschung. Networks and Spatial Economics. Volume 11, Issue 3, 533-553.
Deoras, A. (2011). Energy Trading & Risk Management with MATLAB Webinar Case Study. https://www.mathworks.com/matlabcentral/fileexchange/28056-energy-trading---risk-management-with-matlab-webinar-case-study.
Energy Intelligence - World Gas IntelligenceEnergy Intelligence (WGI) May 2000- May 2014.
Fladmark, B. and Grimstad, G. B. (2013). Seasonality in Natural Gas Price an empirical of Henry Hub Natural Gas Future Prices,Master thesis in Financial Economics and Economic Analysis-Norwegian School of Economics, 34.
Gibson, R. and Schwartz, E.S. (1990). “Stochastic convenience yield and the pricing of oil contingent claims”. The Journal of Finance, 45, 959-976.
Heidari, H.; Katircioglu, S. T. and Saeidpour, L. (2013); Natural gas consumption and economic growth: Areweready to natural gas price liberalization in Iran?, Energy Policy. 63, 638-645.
IHS Contry Risk Analzsis. (1998 Q1- 2014 Q4). IHS CERA.UK. Data bank.
Mirantes, A. G.; Población, J. and Serna, G. (2012). “The Stochastic Seasonal Behaviour of Natural Gas Prices”. European Financial Management. Vol. 18(3), 410-443.
Nick, S. and Thoenes, S. (2013). What Drives Natural Gas Prices? A Structural VAR Approach. EWI Working Paper, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI).
Pindyck, R. S. (2004). “Volatility and Commodity Price Dynamics”. The Journal of Futures Markets, Vol. 24, No. 11, 1029-1047.
Petrovich, B. (2013). European gas hubs: how strong is price correlation?’ The Oxford Institute for Energy Studies. NG 79.
Pruyt, E. (2013). Small System Dynamics Models for Big Issues: Triple Jump towards Real-World Complexity. TU Delft Library, Delft, the Netherlands Vensim Ventana Simualation Environment.
Ramezani, A. (2015). Iranian Gas Industry (Potentials & Opportunities).European Autumn Gas Conference 17-19 November 2015 Geneva, Switzerland, Slide 12-15.
Stern, J. (2012). The Pricing of Internationaly Traded Gas.The Oxford Institute for energy studies.150-200.
Shale gas and EU energy security.December 2014.European Parlemrnt
European Energy Security Strategy.Wednesday, 28 May, 2014 Latest communications.
Schwartz, E. S. and Smith, J. E. (2000). Short-term variations and long-term dynamics in commodity prices. Management Science, 46(7), 893-911.
True, W. R. (1985-2000). U.S. pipeline mileage up a bit. Oil and Gas Journal.
User’s Guide Version 5 Copyright © 1998-2007 Ventana Systems,
Villaplana, P. (2004). Valuation of Electricity Forward Contracts: The Role of Demand and Capacity, Spanish National Energy Comission, Energy Derivatives Market Division. Working paper, 2-37
Vassbo, F. (2012). A stochastic Model for Correlated Commodity Prices.Master’s Thesis .Faculty of Science and Technology. University of Stavanger, Norway. 22-40.
| ||
|
Statistics Article View: 2,759 PDF Download: 2,766 |
||