Please use this identifier to cite or link to this item:
Nick, Sebastian
Thoenes, Stefan
Year of Publication: 
Series/Report no.: 
EWI Working Paper 13/02
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.
natural gas
structural vector autoregression
supply interruption
security of supply
Document Type: 
Working Paper

Files in This Item:

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.