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

Jochen Güntner, Magnus Reif and Maik Wolters

No 22/2024, Discussion Papers from Deutsche Bundesbank

Abstract: We propose a structural vector-autoregressive model for the German natural gas market to investigate the impact of the 2022 Russian supply stop on the German economy. We combine conventional and narrative sign restrictions to leverage information about supply cuts for identification and find that gas supply and demand shocks have large and persistent price effects, while output effects are rather moderate. The 2022 natural gas price spike was driven by adverse flow 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 to what we observe in the data.

Keywords: Energy crisis; German natural gas market; narrative sign restrictions; natural gas price; structural scenario analysis; vector-autoregression (search for similar items in EconPapers)
JEL-codes: E32 F51 Q41 Q43 Q48 (search for similar items in EconPapers)
Date: 2024
New Economics Papers: this item is included in nep-cis, nep-eec and nep-ene
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https://www.econstor.eu/bitstream/10419/299244/1/1892360268.pdf (application/pdf)

Related works:
Journal Article: Sudden stop: Supply and demand shocks in the German natural gas market (2024)
Working Paper: Sudden Stop: Supply and Demand Shocks in the German Natural Gas Market (2024)
Working Paper: Sudden stop: Supply and demand shocks in the German natural gas market (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubdps:299244

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