Sudden stop: Supply and demand shocks in the German natural gas market

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Applied Econometrics Pub Date : 2024-07-31 DOI:10.1002/jae.3089

Jochen Güntner, Magnus Reif, Maik Wolters

引用次数: 0

Abstract

We use a structural vector autoregressive (SVAR) model to study the German natural gas market and investigate the impact of the 2022 Russian supply stop on the German economy. Combining conventional and narrative sign restrictions, we find that gas supply and demand shocks have large and persistent price effects, while output effects tend to be moderate. The 2022 natural gas price spike was driven by adverse supply shocks and positive storage demand shocks, as Germany filled its inventories before the winter. Counterfactual simulations of an embargo on natural gas imports from Russia indicate similar positive price and negative output effects compared with what we observe in the data.

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急刹车：德国天然气市场的供需冲击

摘要我们使用结构向量自回归（SVAR）模型研究了德国天然气市场，并调查了 2022 年俄罗斯停止供应对德国经济的影响。结合传统和叙述性符号限制，我们发现天然气供需冲击对价格的影响巨大且持续，而对产出的影响则趋于温和。2022 年天然气价格飙升是由不利的供应冲击和积极的储存需求冲击所驱动的，因为德国在冬季来临之前就已填充了库存。对从俄罗斯进口天然气实施禁运的反事实模拟显示，与我们在数据中观察到的情况相比，价格和产出受到了类似的正效应和负效应。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Applied Econometrics Multiple-

CiteScore

3.70

自引率

4.80%

发文量

期刊介绍： The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.