Description

• Title:
  A tripolar model of gas price formation in Germany. Does the shale revolution in the US matter? Dataset
• Creator:
  Welfe, Aleksander;
  Moenke, Anna
• Contributor:
  Uniwersytet Łódzki;
  Szkoła Główna Handlowa;
  aleksander.welfe@uni.lodz.pl
• Description:
  P_G_t - Natural gas price; import price index (excluding taxes, duties etc.), P_NO_t - nominal price of Europe brent spot price FOB (dollars per barrel), EU_CPI_t - European Union CPIs, S_t - nominal USD/EUR exchange rate, PE_t - German CPIs, P_t - US CPIs, Y_act_t - OECD’s industrial production index. It accounts for the output of the mining, manufacturing, electricity, gas and steam and air-conditioning sectors of the OECD’s countries, Rn_DJ_t - the monthly average value of the Dow Jones indexes on closing, RN_DAX_t - the monthly average value of the DAX indexes on closing, Rn_US_t - short-term interest rate in the US is calculated as nominal three-month treasury bill rate, Prod_US_t - U.S. natural gas gross withdrawals (MMcf), Vol_t - Total monthly volume of futures and options contract on the ICE futureseurope market.;
  Presented analysis of gas price formation mechanism in Germany was prompted by changes brought about by technological advancements and the liberalization and harmonization of natural gas markets in the European Union after the year 2000. Because the data used in the study is generated by nonstationary stochastic processes, the cointegrated vector autoregressive model was applied as the most appropriate. The analysis pointed out that the price of natural gas, oil and the USD/EUR exchange rate influence each other in the long run and thus should be modelled together. Gas price in Germany is driven by both fundamental and financial factors, and so it rises with economic expansion, oil price increases, and the depreciation of the USD. It also reacts to changes in short-term interest rates and the volume of gas production in the US, which confirms that the shale revolution in this country has been consequential for gas prices in Europe, like any other supply shock would have been.;
  Narodowe Centrum Nauki: OPUS 21: DEC—2021/41/B/HS4/04317
• Object availability:
  free access
• Rights:
  Uznanie autorstwa 4.0 Międzynarodowe;
  http://creativecommons.org/licenses/by/4.0
• Date:
  2024.06.24;
  2022
• Type:
  Dataset
• Language:
  Polish
• Format:
  application/vnd.openxmlformats-officedocument.spreadsheetml.sheet
• Subject:
  gas price determinants;
  German natural gas market;
  shale revolution;
  CVAR model
• Identifier: http://hdl.handle.net/11089/52614
• Data provider:
  Repozytorium Uniwersytetu Łódzkiego
• Can I use it?:
  check license
• Type:
  text