Contemporary European Energy Markets and Structural Breaks
Location
SU-214
Department
Economics
Abstract
We explore recent changes in energy prices specific to the European market. Our analysis of structural breaks in oil (Brent), natural gas (TTF), and coal (FOB) prices using the Chow (1960) and Bai-Perron (1998) tests highlight the tremendous disruption that both the COVID-19 pandemic and the Russian invasion of Ukraine caused to European energy markets. Our findings indicate that the recent volatility and price shocks in the European energy market are derivative of significant volatility in both price and demand stemming from the aforementioned events. These tests empirically highlight the significant relationship between headline developments and the European energy market.
Faculty Sponsor
Scott Hegerty
Contemporary European Energy Markets and Structural Breaks
SU-214
We explore recent changes in energy prices specific to the European market. Our analysis of structural breaks in oil (Brent), natural gas (TTF), and coal (FOB) prices using the Chow (1960) and Bai-Perron (1998) tests highlight the tremendous disruption that both the COVID-19 pandemic and the Russian invasion of Ukraine caused to European energy markets. Our findings indicate that the recent volatility and price shocks in the European energy market are derivative of significant volatility in both price and demand stemming from the aforementioned events. These tests empirically highlight the significant relationship between headline developments and the European energy market.