Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/74410 
Year of Publication: 
2013
Series/Report no.: 
EWI Working Paper No. 13/02
Publisher: 
Institute of Energy Economics at the University of Cologne (EWI), Köln
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.
Subjects: 
natural gas
structural vector autoregression
SVAR
supply interruption
security of supply
JEL: 
Q41
Document Type: 
Working Paper

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