Market integration and price transmission in the U.S. natural gas market: From the wellhead to end use markets

► Natural gas prices have been subject to structural breaks since the mid 1990s. ► Downstream prices are more responsive to both demand and supply shocks than are the wellhead prices. ► Downstream prices respond unevenly to changes in upstream prices. ► Asymmetric adjustments of downstream prices to deviations from equilibrium with wellhead prices suggest market power or bottlenecks on the supply-side of the market.