The causal effect of the Russia-Ukraine conflict on natural gas prices in different markets

ABSTRACT

This paper utilizes a DID variant method to analyse the causal impact of the Russia-Ukraine conflict on natural gas prices across various markets. Findings show that average gas prices rose by 12.74, 11.55, 11.24, and 1.18 ($/mmbtu) in key markets such as the Title Transfer Facility (TTF), National Balancing Point (NBP), Japan-Korea Marker (JKM), and Henry Hub (HH), respectively. Moreover, European and Asian markets (TTF, NBP, JKM) are more sensitive to the conflict compared to the U.S. market (HH), displaying significant differences. Notably, the most substantial impact is observed in the European market (TTF), likely due to Europe’s reliance on Russian natural gas.

KEYWORDS:

• Natural gas price
• Russia-Ukraine conflict
• difference-in-differences (DID)
• synthetic DID (SDID)
• principal components DID (PCDID)

JEL CLASSIFICATION:

• Q34
• Q43

Disclosure statement

No potential conflict of interest was reported by the author(s).

Supplementary material

Supplemental data for this article can be accessed online at https://doi.org/10.1080/13504851.2024.2333460

Notes

¹ Please also see (Online) Appendix A.

² Please also see (Online) Appendix B.

³ Please see (Online) Appendix C for time series plots of natural gas prices.

⁴ Please also see (Online) Appendix D.

⁵ Please see (Online) Appendix E and F for the time-varying effects across different event windows and the results with an extended sample period (2015–2022), respectively.

⁶ Please also see Appendix G of the Online Appendix.

⁷ Please also see (Online) Appendix H.