What Drives Natural Gas Prices? - A Structural VAR Approach

Sebastian Nick and Stefan Thoenes

No 2013-2, EWI Working Papers from Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI)

Abstract: In 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.

Keywords: natural gas; structural vector autoregression; SVAR; supply interruption; security of supply (search for similar items in EconPapers)
JEL-codes: Q41 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2013-02-13
New Economics Papers: this item is included in nep-cis, nep-ene and nep-env
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (43)

Downloads: (external link)
http://www.ewi.uni-koeln.de/fileadmin/user_upload/ ... tural_Gas_Prices.pdf Full text (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.ewi.uni-koeln.de/fileadmin/user_upload/Publikationen/Working_Paper/EWI_WP_13-02_new_What_Drives_Natural_Gas_Prices.pdf [301 Moved Permanently]--> https://www.ewi.uni-koeln.de/fileadmin/user_upload/Publikationen/Working_Paper/EWI_WP_13-02_new_What_Drives_Natural_Gas_Prices.pdf)

Related works:
Journal Article: What drives natural gas prices? — A structural VAR approach (2014)
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:ris:ewikln:2013_002

Access Statistics for this paper

More papers in EWI Working Papers from Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI) Contact information at EDIRC.
Bibliographic data for series maintained by Sabine Williams ().