Have a personal or library account? Click to login

Interactions and Shocks in Energy Markets – Empirical Evidence from VAR Modeling

Open Access
|Jul 2025

References

  1. Ah-Voun, D., Chyong, C. K., & Li, C. (2024). Europe’s energy security: From Russian dependence to renewable reliance. Energy Policy, 184, 113856.
  2. Balcilar, M., Roubaud, D., & Shahbaz, M. (2019). The impact of energy market uncertainty shocks on energy transition in Europe. The Energy Journal, 40(1_suppl), 55-80.
  3. Chae, Y., Kim, M., & Yoo, S. H. (2012). Does natural gas fuel price cause system marginal price, vice-versa, or neither? A causality analysis. Energy, 47(1), 199-204.
  4. Chai, J., Guo, J. E., Meng, L., & Wang, S. Y. (2011). Exploring the core factors and its dynamic effects on oil price: an application on path analysis and BVAR-TVP model. Energy policy, 39(12), 8022-8036.
  5. Cristea, M., Noja, G. G., Drăcea, R. M., Iacobuță-Mihăiță, A. O., & Dorożyński, T. (2024). ESG investment strategies and the financial performance of European agricultural companies: a new modelling approach. Journal of Business Economics and Management, 25(6), 1283-1307.
  6. Dees, S., Karadeloglou, P., Kaufmann, R. K., & Sanchez, M. (2007). Modelling the world oil market: Assessment of a quarterly econometric model. Energy policy, 35(1), 178-191.
  7. Di Bella, G., Flanagan, M., Foda, K., Maslova, S., Pienkowski, A., Stuermer, M., & Toscani, F. (2024). Natural gas in Europe: the potential impact of disruptions to supply. Energy Economics, 138, 107777.
  8. DRĂCEA, R. M., Ignat, R., TRICĂ, C. L., Teodor, C., & NEDELCU, A. C. (2020). ENERGY EFFICIENCY OF EU MEMBER STATES: A PANEL DATA ANALYSIS. Economic Computation & Economic Cybernetics Studies & Research, 54(4).
  9. Emiliozzi, S., Ferriani, F., & Gazzani, A. (2025). The European energy crisis and the consequences for the global natural gas market. The Energy Journal, 46(1), 119-145.
  10. Ferkingstad, E., Løland, A., & Wilhelmsen, M. (2011). Causal modeling and inference for electricity markets. Energy Economics, 33(3), 404-412.
  11. Ferreira, P., Soares, I., & Araújo, M. (2005). Liberalisation, consumption heterogeneity and the dynamics of energy prices. Energy Policy, 33(17), 2244-2255.
  12. Halkos, G. E., & Tsirivis, A. S. (2019). Effective energy commodity risk management: Econometric modeling of price volatility. Economic Analysis and Policy, 63, 234-250.
  13. He, Y. X., Zhang, S. L., Yang, L. Y., Wang, Y. J., & Wang, J. (2010). Economic analysis of coal price–electricity price adjustment in China based on the CGE model. Energy Policy, 38(11), 6629-6637.
  14. He, Y., Xia, T., Xiong, W., Wang, B., & Liu, Y. (2013). Risk transmission assessment of electricity price chain in China based on ISM and ECM. International Journal of Electrical Power & Energy Systems, 46, 274-282.
  15. Henriques, I., & Sadorsky, P. (2008). Oil prices and the stock prices of alternative energy companies. Energy Economics, 30(3), 998-1010.
  16. Hurduzeu, G., NOJA, G. G., Cristea, M., DRĂCEA, R. M., & Filip, R. I. (2022). REVISITING THE IMPACT OF ESG PRACTICES ON FIRM FINANCIAL PERFORMANCE IN THE ENERGY SECTOR: NEW EMPIRICAL EVIDENCE. Economic Computation & Economic Cybernetics Studies & Research, 56(4).
  17. Ignat, R., Chiripuci, B.C., Pătărlăgeanu, S.R., Constantin, M. & Lazăr, V. (2022). Tackling market opportunities for the biomass production in Romania. Proceedings of the International Conference on Business Excellence, 16(1), pp. 327-335. https://doi.org/10.2478/picbe-2022-0032
  18. Karan, M.B., Kazdağli, H. (2011). The Development of Energy Markets in Europe. In: Dorsman, A., Westerman, W., Karan, M., Arslan, Ö. (eds) Financial Aspects in Energy. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-19709-3_2
  19. Kilian, L. (2008). The economic effects of energy price shocks. Journal of economic literature, 46(4), 871-909.
  20. Kremer, M., Kiesel, R., & Paraschiv, F. (2021). An econometric model for intraday electricity trading. Philosophical Transactions of the Royal Society A, 379.
  21. Lebrand, M., Vasishtha, G., & Yilmazkuday, H. (2024). Energy price shocks and current account balances: Evidence from emerging market and developing economies. Energy Economics, 129, 107201.
  22. Lienert, M., & Lochner, S. (2012). The importance of market interdependencies in modeling energy systems – The case of the European electricity generation market. International Journal of Electrical Power & Energy Systems, 34(1), 99–113. doi:10.1016/j.ijepes.2011.09.010
  23. Matei, G., Drǎcea, M., Drăcea, R., & Mitu, N. (2007). Finanţe publice. Teorie, grile, aplicaţii.
  24. Mohammadi, H. (2009). Electricity prices and fuel costs: Long-run relations and short-run dynamics. Energy Economics, 31(3), 503-509.
  25. Muñoz, M. P., & Dickey, D. A. (2009). Are electricity prices affected by the US dollar to Euro exchange rate? The Spanish case. Energy Economics, 31(6), 857-866.
  26. Nchofoung, T. N. (2024). Oil price shocks and energy transition in Africa. Energy Policy, 184, 113855.
  27. Nikas, A., Frilingou, N., Heussaff, C., Fragkos, P., Mittal, S., Sampedro, J., ... & Van de Ven, D. J. (2024). Three different directions in which the European Union could replace Russian natural gas. Energy, 290, 130254.
  28. Noja, G. G., Cristea, M., Pirtea, M. G., Panait, M., Drăcea, R. M., & Abrudan, D. (2023). Drivers of firms’ financial performance in the energy sector: a comparative approach between the conventional and renewable energy fields. Engineering Economics, 34(2), 205-222.
  29. Parpulova, N., & Zinoviev, V. (2024). NATURAL GAS AND THE DYNAMICS OF THE ENERGY MARKET-EASTERN EUROPE. Economic Studies, 33(4).
  30. Pereira, D. S., Marques, L. M., & Marques, A. C. (2024). Does the energy sector’s seasonality impact economic growth volatility?. In Handbook on Energy and Economic Growth (pp. 9-29). Edward Elgar Publishing.
  31. Pfaff, B. (2008). VAR, SVAR and SVEC models: Implementation within R package vars. Journal of statistical software, 27, 1-32.
  32. Pollitt, M. G., von der Fehr, N. H. M., Willems, B., Banet, C., Le Coq, C., & Chyong, C. K. (2024). Recommendations for a future-proof electricity market design in Europe in light of the 2021-23 energy crisis. Energy policy, 188, 114051.
  33. Popescu, M.-F., Constantin, M., & Chiripuci, B. C. (2022). Transition to a sustainable energy production and consumption model – mapping the patterns of success. Journal of Business Economics and Management, 23(4), 915–936. https://doi.org/10.3846/jbem.2022.17022
  34. Shimomura, M., Keeley, A. R., Matsumoto, K. I., Tanaka, K., & Managi, S. (2024). Beyond the merit order effect: Impact of the rapid expansion of renewable energy on electricity market price. Renewable and Sustainable Energy Reviews, 189, 114037.
  35. Sheng, Z. H. A. N. G., Tongjian, Z. H. A. N. G., & Baolin, L. V. (2009). The influencing factors of China’s coal price. Coal Economic Research.Shokoohi, Zeinab & Saghaian, Sayed, 2022. “Nexus of energy and food nutrition prices in oil importing and exporting countries: A panel VAR model,” Energy, Elsevier, vol. 255(C).
  36. Skare, M., Blažević Burić, S. and Sinković, D. (2022). Effects of Energy Prices Shocks on Global Inflation: A Panel Structural VAR Approach. Acta Montanistica Slovaca, Volume 27 (4), 929-943
  37. Su, C. W., Li, Z. Z., Chang, H. L., & Lobonţ, O. R. (2017). When will occur the crude oil bubbles?. Energy Policy, 102, 1-6.
  38. Sun, C., Ding, D., Fang, X., Zhang, H., & Li, J. (2019). How do fossil energy prices affect the stock prices of new energy companies? Evidence from Divisia energy price index in China’s market. Energy, 169, 637-645.
  39. Wang, S. L., & McPhail, L. (2014). Impacts of energy shocks on US agricultural productivity growth and commodity prices—A structural VAR analysis. Energy Economics, 46, 435-444.
  40. Woo, C. K., Olson, A., Horowitz, I., & Luk, S. (2006). Bi-directional causality in California’s electricity and natural-gas markets. Energy Policy, 34(15), 2060-2070.
  41. Yi, L., Zhang, W., Liu, Y., & Zhang, W. (2021). An Analysis of the Impact of Market Segmentation on Energy Efficiency: A Spatial Econometric Model Applied in China. Sustainability, 13(14), 7659.
  42. Zolfaghari, M., Ghoddusi, H., & Faghihian, F. (2020). Volatility spillovers for energy prices: A diagonal BEKK approach. Energy Economics, 92, 104965.
Language: English
Page range: 5149 - 5171
Published on: Jul 24, 2025
Published by: Bucharest University of Economic Studies
In partnership with: Paradigm Publishing Services
Publication frequency: 1 issue per year

© 2025 Raluca-Mihaela Drăcea, Simona Mirela Cristea, Ina Nimerenco, Cristian Teodor, published by Bucharest University of Economic Studies
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.