IDEAS home Printed from https://ideas.repec.org/a/eee/jmacro/v88y2026ics0164070426000236.html

Gas market shocks: Tracing the effect on Euro Area inflation expectations

Author

Listed:
  • Adolfsen, J.F.
  • Lappe, M.-S.
  • Manu, A-S.
  • Rößler, D.
  • Schupp, F.
  • Stalla-Bourdillon, A.

Abstract

This paper examines the impact of natural gas market shocks on gas market dynamics, inflation expectations and realized inflation in the Euro Area using a weekly BVAR model. Our contribution lies in a novel identification strategy that distinguishes between various types of shocks of unprecedented detail, leverages weekly rather than monthly data, and extends the analysis to both financial market-based headline and core inflation expectations. We find that, although conceptually distinct, pipeline and liquefied natural gas (LNG) supply shocks have comparable effects on realized variables such as gas prices and actual inflation. By contrast, LNG supply shocks play a more limited role in shaping inflation expectations. Precautionary demand and industrial demand shocks also emerge as important drivers of inflation dynamics. This reflects both the forward-looking nature of precautionary shocks, which capture changes in investor sentiment, and the broader macroeconomic relevance of industrial demand shocks, whose effects extend beyond the gas market.

Suggested Citation

  • Adolfsen, J.F. & Lappe, M.-S. & Manu, A-S. & Rößler, D. & Schupp, F. & Stalla-Bourdillon, A., 2026. "Gas market shocks: Tracing the effect on Euro Area inflation expectations," Journal of Macroeconomics, Elsevier, vol. 88(C).
    • Handle: RePEc:eee:jmacro:v:88:y:2026:i:c:s0164070426000236
    DOI: 10.1016/j.jmacro.2026.103760
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0164070426000236
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.jmacro.2026.103760?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmacro:v:88:y:2026:i:c:s0164070426000236. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/622617 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.