What drives natural gas prices? — A structural VAR approach

Abstract

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in 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.

Convergence of European natural gas prices

“…Moreover, the spread of the series around the sample average tends to increase during episodes of high crude oil price volatility. This happens for instance in 2001, 2007/08 and 2012 and supports empirical studies showing that the gas pricing mechanism is still, at least to some extent, influenced by what happens in the crude oil market (Asche et al, 2013;Nick and Thoenes, 2014). In Figures 2(b-f) we show that, at least since 2007, industrial consumers in countries with more than tree interconnections or that host the most active trading hubs have experienced prices lower than the EU average.…”

Portfolio Stress Testing Applied to Commodity Futures

“…From the descriptive statistics natural gas is by far the most volatile commodity, and with the most extreme losses natural gas has performed poorly over the last decades compared to most of the other commodities. Several structural breaks in natural gas prices are also included in our data set, examples being the supply shortfall in Libya 2011 and the Russian export stop in 2012 (Nick and Thoenes, 2014). Including more natural gas the portfolio might therefore be one of the main reasons of the more severe simulated loss in his study.…”

Is this essential for Japan to changes its LNG import policy? Some evidence of the OPEC crude oil price shocks

“…The price of natural gas, as well as the changes in its demand and supply, is an extremely vital factor for the majority of economic actors, as this fuel is used not only in many residential and commercial units for heating but as a primary feed in many industries, Specifically for power plants and petrochemical complexes (Nick & Thoenes, 2013). In general, any increase in oil prices can influence economic growth and the country's products, and consequently, the levels of consumption ‹ 31 › during 1997-2010, but their relationship is changing over time.…”