What Drives Natural Gas Prices? - A Structural VAR Approach
AbstractIn this study, we develop a structural vector autoregressive model (VAR) for the German natural gas market. Our setup allows us to analyze the determinants of the natural gas price in a comprehensive framework. In particular, we illustrate the usefulness of our approach by disentangling the effects of different fundamental influences on gas prices during three recent supply interruptions: The Russian-Ukrainian gas dispute of January 2009, the Libyan civil war in 2011 and the withheld Russian exports in February 2012. Our results show that the natural gas price is affected by temperature, storage and supply shortfalls in the short term, while the long-term development is closely tied to both crude oil and coal prices, capturing the economic climate and the energy specific demand.
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Bibliographic InfoPaper provided by Energiewirtschaftliches Institut an der Universitaet zu Koeln in its series EWI Working Papers with number 2013-2.
Length: 33 pages
Date of creation: 13 Feb 2013
Date of revision:
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More information through EDIRC
natural gas; structural vector autoregression; SVAR; supply interruption; security of supply;
Find related papers by JEL classification:
- Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-09 (All new papers)
- NEP-CIS-2013-03-09 (Confederation of Independent States)
- NEP-ENE-2013-03-09 (Energy Economics)
- NEP-ENV-2013-03-09 (Environmental Economics)
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