Abstract: Based on the monthly price from 1991-2011 of Europe, AsiaPacific and North America gas markets, the co-integration and Kalman filter methods are used to exam the degree of price comovement in the three regional gas markets; the progress made for gas market integration is exhibited, and suggestions are given to those countries poor in natural gas. It is shown that there is no obvious price comovement between AsianPacific gas market and European/North American gas market. However the price comovement is outstanding between European and North American gas markets; it decreases since 2008 with the massive exploitation of the unconventional natural gas (especially shale gas) in the United States and more flexible trading modes such as natural gas spot contracts, shortterm contracts. Despite of a high degree of price comovement between European and North American markets, the gas market is still far from global integration.

Key words: natural gas market, LNG, unconventional gas, Kalman filter, price co-movement

摘要： 基于欧洲、亚太、北美三大天然气市场1991—2011年天然气月度价格序列，运用协整和Kalman滤波方法，对三大区域性天然气市场的价格联动效应进行检验，分析当前天然气市场一体化进程，并对天然气稀缺的国家提出了建议。结果表明，亚太天然气市场与欧洲或北美天然气市场价格不存在显著的联动效应，欧洲与北美天然气市场价格联动性显著，但随着美国非常规天然气（尤其是页岩气）的大规模开采，以及天然气现货合同、短期合同等更为灵活的交易方式的出现，2008年后欧美天然气市场联动程度略有下降。此外，尽管欧美天然气市场价格联动程度较高，但是天然气市场还远未达到全球一体化。

关键词: 天然气市场, 液化天然气, 非常规天然气, Kalman滤波, 价格联动