Examining the Drivers of Natural Gas Price in Europe - Focus on the Role of Speculators

Saleh Mothana Obadi and Matej Korcek
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Saleh Mothana Obadi: Institute of Economic Research, Slovak Academy of Sciences, Slovakia.
Matej Korcek: Institute of Economic Research, Slovak Academy of Sciences, Slovakia.

International Journal of Energy Economics and Policy, 2023, vol. 13, issue 3, 356-366

Abstract: This paper examines the role of fundamentals and speculators for the price of natural gas market in Europe expressed in TTF front month index. The Granger causality test is used to investigate the relationship between variables determining supply and demand factors as well as activities of speculators expressed in futures TTF contracts held on ICE exchange, data reported by the European Securities and Markets Authority - ESMA. Existence of unidirectional granger causality was revealed running from prices of oil, temperatures towards prices of natural gas, bidirectional causality was found with prices of coal and emission allowance. No Granger causality was found between storages, PMI, positioning of speculators and natural gas price. Granger causality running from storages to speculators was identified. We concluded this indicates the market positioning of speculators is driven by fundamental factors and it is not the main factor driving the price of natural gas.

Keywords: Natural Gas; Price; Granger Causality; Speculators (search for similar items in EconPapers)
JEL-codes: Q41 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ2:2023-03-40

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