A Tripolar Model of Gas Price Formation in Germany. Does the Shale Revolution in the US Matter?

Moenke Anna () and Aleksander Welfe
Additional contact information
Moenke Anna: Warsaw School of Economics, Al. Niepodleglosci 162, 02-554 Warszawa, Poland

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2022, vol. 242, issue 4, 501-520

Abstract: Presented analysis of gas price formation mechanism in Germany was prompted by changes brought about by technological advancements and the liberalization and harmonization of natural gas markets in the European Union after the year 2000. Because the data used in the study is generated by nonstationary stochastic processes, the cointegrated vector autoregressive model was applied as the most appropriate. The analysis pointed out that the price of natural gas, oil and the USD/EUR exchange rate influence each other in the long run and thus should be modelled together. Gas price in Germany is driven by both fundamental and financial factors, and so it rises with economic expansion, oil price increases, and the depreciation of the USD. It also reacts to changes in short-term interest rates and the volume of gas production in the US, which confirms that the shale revolution in this country has been consequential for gas prices in Europe, like any other supply shock would have been.

Keywords: gas price determinants; German natural gas market; shale revolution; CVAR model (search for similar items in EconPapers)
JEL-codes: C32 C51 Q41 (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1515/jbnst-2022-0002 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:242:y:2022:i:4:p:501-520:n:5

DOI: 10.1515/jbnst-2022-0002

Access Statistics for this article

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik) is currently edited by Peter Winker

More articles in Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik) from De Gruyter
Bibliographic data for series maintained by Peter Golla ().