shocks have large and persistent price effects, while output effects tend to be moderate. The 2022 natural gas price spike … winter. Counterfactual simulations of an embargo on natural gas imports from Russia indicate similar positive price and …

, conventional linear models of price dynamics such as the Vector Error Correction Model (VECM) can lead to erroneous inferences … about cointegration relationships, price adjustments and relative values. We propose the use of regime-switching models to … address these issues. Our regime switching model uses price data to infer whether pricing is oil-driven (integrated) or gas …

to weather, seasonality, and supply disruptions strengthen the price relationship between these two commodities. When the …

induce price increases in gas importing countries up to 22%. There is evidence that the natural gas markets in Europe and … gas exporting countries supplies is further illustrated by the results of a sensitivity case in which price levels are up …