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  • 标题:What Drives Natural Gas Prices? - A Structural VAR Approach
  • 本地全文:下载
  • 作者:Sebastian Nick ; Stefan Thoenes
  • 期刊名称:EWI Working Papers
  • 印刷版ISSN:1862-3808
  • 出版年度:2013
  • 卷号:2013
  • 出版社:Energiewirtschaftliches Institut an der Universität zu Köln
  • 摘要: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.
  • 关键词:natural gas; structural vector autoregression; SVAR; supply interruption;security of supply
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