Comprendere i driver dei prezzi del gas naturale nel mercato europeo: uno studio di modellazione autoregressiva strutturale

This thesis presents an in-depth analysis of the drivers influencing natural gas prices in the European market, employing a Structural Vector Autoregressive (SVAR) model. The study focuses on five key variables: crude oil, coal, pipeline supply shortfall, Liquefied Natural Gas (LNG) supply, and storage. The findings reveal a significant interdependency between natural gas prices and the prices of two primary commodities: crude oil and coal. The immediate impact of shocks in crude oil and coal prices on natural gas prices is substantial, highlighting the intricate dynamics between these energy commodities. The relationship between natural gas and crude oil prices strengthens over the medium to long term, while the influence of coal prices, though significant in the short to medium term, tends to decrease over time. The results for pipeline supply shortfall, LNG supply, and storage are less definitive. While no statistically significant impact was found in the short term, the long-term influence of storage on natural gas prices emerged as noteworthy in the Forecast Error Variance Decomposition (FEVD) analysis. This research underscores the complexity of the European natural gas market and the importance of understanding the interplay between different energy commodities. It contributes to the existing literature by providing a comprehensive analysis of natural gas price dynamics in Europe, a region with a growing role in the global natural gas market.