歐洲央行（ECB）：天然氣價格沖擊和歐元區(qū)通貨膨脹

EUROPEANCENTRALBANK

EUROSYSTEM

JakobFeveileAdolfsen,MassimoFerrariMinesso,

JenteEstherMork,IneVanRobays

WorkingPaperSeries

Gaspriceshocksandeuroarea

inflation

Disclaimer:ThispapershouldnotbereportedasrepresentingtheviewsoftheEuropeanCentralBank(ECB).TheviewsexpressedarethoseoftheauthorsanddonotnecessarilyreflectthoseoftheECB.

Abstract

ThispaperdevelopsaBayesianVARmodeltoidentifythreestructuralshocksdriv-ingtheEuropeangasmarket:demand,supplyandinventoryshocks.Wedocumenthowgaspricefluctuationshaveaheterogeneouspass-throughtoeuroareapricesdependingontheunderlyingshockdrivingthem.Thepass-throughisstrongerandmorepersistentwhengaspricesaredrivenbyaggregatedemandorsupplypres-sures,whileinventoryshockshaveaweakerimpact.Supplyshocks,moreover,arefoundtopassthroughtoallcomponentsofeuroareainflation-producerprices,wagesandcoreinflation,whichhasimplicationsformonetarypolicy.Wefinallydocumenthowtheresponseofgaspricestoshocksisnon-linearandissignificantlymagnifiedinperiodsoflowunemployment.

Keywords:GasPrice,Pass-through,Price,EuroArea

JELCodes:C50,C54,E30,E31,Q43

ECBWorkingPaperSeriesNo29051

Non-technicalsummary

TheEuropeangasmarketchangedmarkedlywhentheglobaleconomyrecoveredfromtheCovid-19pandemicandRussiainvadedUkraine.Duetoacombinationofrecoveringdemandandsevereconstraintsinsupply,Europeangaspricesincreasedtohistoricallyhighlevelsafterremainingbroadlystableformorethanadecade.Asnaturalgasiswidelyusedinenergyproduction,energybecamemuchmoreexpensiveforfirmsandhouseholds.ThesurgeingaspricesexplainedpartoftheunprecedentedriseininflationinEuropeduring2022,therebycontributingtothechallengesfacedbymonetarypolicy

makers.

Duetotheseevents,therelationshipbetweenenergyprices,inflationandtherealeconomysteppedintothespotlight.Howdogaspriceshocksfeedthroughtoeuroareainflation,andisthepass-throughshock-dependent?Whatdoesitimplyformonetarypolicy?Sofar,fewstudieshavetoucheduponthesequestions-incontrasttothe

extensiveanalysisonoil,theliteratureontheEuropeangasmarketisstillsparse.

Thispaperhelpspluggingthatgap.Weanalysetheimportanceofgaspriceshocksforeuroareainflationintwosteps.First,wedevelopanovelBayesianVARmodeltoanalysekeystructuraldriversoftheTitleTransferFacility(TTF)gasprices.Anextensiveliteratureonoilhasshowedthattheeconomiceffectsofoilshocksdependonwhethertheyaredemand-orsupply-driven,anditisreasonabletoassumethatthisappliestothegasmarketaswell.WeidentifythreestructuralshocksdrivingEuropeangasprices,inspiredbytheliteratureonoilbuttailoredtotheEuropeangasmarket:(i)agassupplyshock,whichreducesthesupplyofnaturalgastotheEuropeanmarket,increasesthegaspriceandlowersgasinventories;(ii)aneconomicactivityshock,whichliftsdemandforgasduetohighereconomicproduction,andfinally(iii)ashocktogasinventories,whengaspricesaredrivenbyprecautionarydemandbygascompanies.Whilethesethreefactorsshouldcapturemostofthefluctuationsingaspricesoveroursample,otherpossiblyrelevantdriversarecapturedbyafourthunrestrictedshock.Inasecondstep,weusetheestimatedstructuralgasshocksinalocalprojectionssettingtoanalysethetransmissiontoeuroareainflationindetail,andexplorepossiblenon-linearitesinthe

pass-through.

Ourresultspointtothreeinterestingfindings.First,allthreeidentifiedshocksare

importantdriversofgaspricedynamics,buttheydifferinhowpersistentlytheypush

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upgasprices.Whengaspricesriseduetodisruptionsingassupply,theycanremainsignificantupto12months,whichisalsothecasewhentheyaretriggeredbypositivedemandshocksthatfollowhighereconomicgrowth.Butwhengaspricesaredrivenbyinventorydemandshocks,thepriceeffecttypicallydiesoutwithinonequarter.Theunprecedentedriseingaspricesinrecentyearswasindeed-accordingtoourmodel-mostlydrivenbyacombinationofrecoveringdemandfollowingthepandemicandsupply-sidedisruptionsfollowingthewarinUkraine;thehighpersistenceingasprices

thatfollowedprovedamajorchallengefortheeuroareaeconomyinparticular.

Second,thepass-throughtoeuroareainflationdependsimportantlyonthefactorsdrivinggaspriceshigher.TheeffectoneuroareaHICPofashocktogassupplyismorepersistentandsomewhathigherthanwhengaspricesaredrivenbyeconomicactivityshocks.Inbothcases,however,thepeakincreaseininflationgoesaboveandbeyondwhatismechanicallyimpliedbythe(small)weightofgasintheHICPexpenditurebasket,whichindicatesthatimportantindirecteffectsarepresent.Indeed,thesetwotypesofgasmarketshocksarefoundtospilloversignificantlytocoreinfation.Bycontrast,duetotheshort-livednatureofgasinventoryshocks,theydonotpersistentlyfeedthrough

aggregatepriceindices

Whenanalysingthetransmissioninmoredetail,wefindthatnegativeshockstogassupplymainlyworkthroughliftingproducerprices,likelyreflectingtheimportanceofgasasaninputintoproduction.Wagesalsorisefollowingasupply-inducedgaspriceincrease,thoughlessthanproportionaltoaggregatepriceswhichimpliesthatrealwagesfall.Partofthecostsofadjustmentthereforeseemscarriedbyworkersthroughlowerpurchasingpower.Atthesametime,firms'marginsarefoundtoexpand,possiblyaslessefficientfirmsaredrivenoffthemarketduetohigherproductionscosts,leadingtomore

efficientproductiononaverage.

Afinalkeyfindingisthatthepass-throughofgasmarketshockstoeuroareainflationappearsnon-linear.Wetestwhetherthetransmissiondiffersinperiodsoflowunemploy-ment,highinflationorafterlargeshocks,andfindthatthelabormarketinparticularmattersforthetransmissionofgassupplyshocks.Inperiodsoflowunemploymentwherethelabormarkettendstobetight,supplyshockshaveuptoa50%strongerimpactonprices.Non-linearitiesrelatedtothesizeoftheshockorthelevelofinfationareless

relevantaccordingtoourestimates.

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Thesefindingsshednewlightontherelationshipbetweengaspricesandinflation,andcarryimportantlessonsforpolicymakers.Theunprecedentedvolatilityofgaspricescontributedtotheinfationproblemintheeuroarea,withthegaspriceshocksfeedingthroughproducerprices,wagesandpersistentlyliftingcoreinflation.Thistransmis-sionwaslikelyreinforcedbyatightlabormarket.Duetothispersistentpass-through,monetarypolicycannot"ookthrough"thesetypesofenergyshocks.Partofthepricepressurescomefromdemandshocks,butourresultsindicatethatalsogassupplyshocks

canmorphintoforcesthatpersistentlyliftcoreinflation.Understandingwhatdrivesgas

pricesiscrucialtodeterminewhichpolicyreactionismostappropriate,asnotallgasshocksarealike.ThispaperprovidesaframeworktoanalysethisfortheEuropeangas

market.

ECBWorkingPaperSeriesNo29054

1Introduction

TheEuropeangasmarketchangedmarkedlywhentheglobaleconomyrecoveredfromtheCovid-19pandemicandRussiainvadedUkraine.Duetoacombinationofrecoveringdemandandsevereconstraintsinsupply,gaspricesinEuropepeakedatanunprecedentedlevelof235.5euros/MWh.Thiswasmorethan40timesthestandarddeviationofthepriceintheyearsbefore,seeFigure1.1Naturalgasiswidelyusedinenergyproduction,accountingfor20%ofenergygenerationintheEU-27in2020,andthesurgesparkedabroad-basedincreaseinthecostofenergyforfirmsandhouseholds.Moreexpensive

energycontributedsubstantiallytotheriseininflationinEuropeduring2022.2

Figure1:GaspriceandeuroareaHarmonizedIndexofConsumerPrices.

Notes:ThechartsshowstheTitleTransferFacility(TTF)gaspriceexpressedineuros/MWhontheleft-handscale,andeuroareaHICPandHICPCoreinyear-on-yearpercentagechangesontheright-handscale.

Duetotheseevents,therelationshipbetweenenergyprices,inflationandtherealeconomysteppedintothespotlight.Howdogaspriceshocksfeedthroughtoeuroareainfation,andisthepass-throughshock-dependent?Isthetransmissiondifferentgiven

thetightlabourmarket?Shouldmonetarypolicymakerslookthroughthesetypeof

1Between2007and2021thestandarddeviationoftheTTFpriceaveragedatabout19euros/MWhwithastandarddeviationof5.8euros/MWh.After2021theaveragepricewas123.6withastandarddeviationof50.6.

2Mechanicalcalculations,whichdonotaccountforgeneralequilibriumeffects,implythattheenergycomponentaccountedforaboutone-halfofannualHICPinflationintheeuroarea,seeKoesteretal.(2023).

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energyshocks?

Thesequestionshavebeenstudiedextensivelyforoilprices.Thisliteraturehasshown

thattheeconomiceffectsdifferdependingonwhatisdrivingoilprices(e.g.Kilian,2009;

BaumeisterandHamilton,2019;Caldaraetal.,2019;K?nzig,2021),andthathigher

oilpricescanfeedthroughcoreinfation(e.g.PeersmanandVanRobays,2009),whichchallengestheroleofmonetarypolicy.Fewercontributionshaveanalyzedtheimplicationsofgaspriceshockssofar;twoexamplesareRubaszekandUddin(2020)fortheUSgas

marketandCasolietal.(2022)forEurope.

Therearesimilaritiestooilinhowtothinkabouttheeconomicimplicationsofgaspriceshocks.Gaspricesaredrivenbysupplyanddemandfactors,andthedrivingforcelikelymattersforitseffectsontheeconomy.3Alsothepass-throughtoinflationmightbemulti-faceted.Asisthecaseforoil,naturalgasisakeyinputinproduction;itiswidelyusedasanenergysourceandinseveralchemicalprocesses.4Risingenergycostsmightpromptfirmstorevisitpricingstrategies,therebyaffectingbroaderinfation.Economictheoryindeedsuggeststhatcommoditypricesdrivenbyexpansionarydemandshocksaffectinfationbymorethantheweightofcommoditiesintheconsumptionbasket,astheoutputgapispositiveandhigherdemandleadstobroad-basedpriceincreases(NakovandPescatori,2010).Onthecontrary,ifcommoditypricesaredrivenbycontractionaryforcessuchassupplyshocks,thepass-throughshouldbeweaker.Thesedifferenceshave

implicationsformonetarypolicy.Inthecaseofsupplyshocks,ithasbeenarguedthat

centralbanksshould"lookthrough"them(BlanchardandGali,2007),whereasthismightbelessobviousinthecaseofsecondroundeffectstoinflation(PeersmanandVanRobays,

2009).

However,therearecharacteristicspecifictogasmarketsthatjustifyseparateatten-tion,andpreventusfromsimplyapplyingwhatweknowaboutoiltogas.First,gaspriceshaveincreasinglydecoupledfromotherenergyproductsanddisplayowndynam-ics.Thedecreasingindexationofgascontractstooilpricesisacaseinpoint.5Gaspricesincreasinglyreflect(regional)factorsspecifictogasmarkets,ratherthanglobaldynamicsthatshapeoilprices.Forinstance,about75%ofgasimportstotheeuroareaarrives

throughpipelines,makinggasimportsdifficulttosubstituteandgasmarketssubjectto

3SeeforexampletheevidencebyRubaszekandUddin(2020)fortheUSeconomy.

4Naturalgas,forexample,accountedforabout20%oftotalEU-27powergenerationin2020,see

ItalianInstituteforInternationalPoliticalStudies(November2022).

5SeeAdolfsenetal.(2022).

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idiosyncraticdevelopments.6Second,naturalgasisgenerallyeasiertosubstitutewithotherenergysourcesthanoilaspowerplantscanoftenswitchbetweennaturalgasandcoal.Finally,retailgaspricesareoftendeterminedbycontractsbetweenthegasdis-tributorsandconsumersimplyingrigidityinthepass-throughfromwholesaletoretailpricesincomparisontochangesincrudeoilprices.Asaresultofthesedifferences,gaspriceshocksmighttransmitdifferentlythanoilpriceshocks.Thatwouldleaveseveral

questionsabouttheimpactofgasshocksoninflationunanswered.

Thispaperhelpspluggingthatgap.Weanalysetheimportanceofgaspriceshocksforeuroareainflationintwosteps.First,wedevelopanovelBayesianVARmodeltoanalysekeystructuraldriversoftheTitleTransferFacility(TTF)gasprices-thebenchmarkgaspriceinEurope.WeidentifythreestructuralshocksdrivingEuropeangasprices,inspiredbytheliteratureonoilbuttailoredtotheEuropeangasmarket:(i)agassupplyshock,whichreducesthesupplyofnaturalgastotheEuropeanmarket,increasesthegaspriceandlowersgasinventories;(ii)aneconomicactivityshock,whichliftsdemandforgasduetohighereconomicproduction,andfinally(iii)ashocktogasinventories,whengaspricesaredrivenbyprecautionarydemandbygascompanies.Whilethesethreefactorsshouldcapturemostofthefluctuationsingaspricesoveroursample,otherpossiblyrelevantdriversarecapturedbyafourthunrestrictedshock.8Inasecondstep,weusetheestimatedstructuralgasshocksusinglocalprojectionsfollowingJordà(2005)toanalysethetransmissiontoeuroareainflationindetail,whilealsoexploringpossiblenon-linearitesrelatedtothesizeoftheshocks,thelevelofunemploymentandinflation.

Wedothisbyusingstate-dependentlocalprojectionsalaCloyneetal.(2023).

Ourresultspointtothreeinterestingfindings.First,allthreeidentifiedshocksareimportantdriversofgaspricedynamics,buttheydifferinhowpersistentlytheypushupgasprices.Whengaspricesriseduetodisruptionsingassupply,theycanremainsignificantupto12months,whichisalsothecasewhentheyaretriggeredbypositivedemandshocksthatfollowhighereconomicgrowth.Butwhengaspricesaredrivenbyinventorydemandshocks,thepriceeffecttypicallydiesoutwithinonequarter.The

unprecedentedriseingaspricesinrecentyearswasindeed-accordingtoourmodel

6SeeEuropeanCouncilInfographic-WheredoestheEU'sgascomefrom?.

Thesubstitutionelasticityofgasisverylowinsomeindustrialsectors(Albrizioetal.,2022).

8Thesefactorscouldincludeswingsintemperatureorglobaldemandforothercountries(whichaffectsdemandthroughLNGimports,whichcurrentlyaccountforabout25%ofsupplybuthistoricallyhavebeennegligible).

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-mostlydrivenbyacombinationofrecoveringdemandfollowingthepandemicandsupply-sidedisruptionsfollowingthewarinUkraine;thehighpersistenceingasprices

thatfollowedprovedamajorchallengefortheeuroareaeconomyinparticular.

Second,thepass-throughtoeuroareainflationdependsimportantlyonthedriversofgasprices.TheeffectoneuroareaHICPofashocktogassupplyismorepersistentandsomewhathigherthantheeffectofaneconomicactivityshock,being0.85%and0.66%respectivelyfollowinga10%impactincreaseingasprices.Inbothcases,thepeakincreaseininflationgoesbeyondwhatismechanicallyimpliedbythe(small)weightofgasintheHICPexpenditurebasket,whichindicatesthatimportantindirecteffectsarepresent.Indeed,thesetwotypesofgasmarketshocksarefoundtospilloversignificantlytocoreinflation,liftingcoreHICPatpeakby0.45%and0.34%afterasupplyandeconomicdemandshockrespectively.Bycontrast,duetotheshort-livednatureofgas

inventoryshocks,theydonotpersistentlyfeedthroughaggregatepriceindices.

Whenanalysingthetransmissioninmoredetail,wefindthatnegativeshockstogassupplymainlyworkthroughliftingproducerprices,likelyreflectingtheimportanceofgasasaninputintoproduction.Wagesalsorisefollowingasupply-inducedgaspriceincrease,thoughlessthanproportionaltoaggregatepriceswhichimpliesthatrealwagesfall.Partofthecostsofadjustmentthereforeseemscarriedbyworkersthroughlowerpurchasingpower.Atthesametime,firms'marginsarefoundtoexpand,possiblyaslessefficientfirmsaredrivenoffthemarketduetohigherproductionscostsinlinewiththehypothesisof"creativedestruction"bySchumpeter(1942),leadingtomoreefficient

productiononaverage.

Afinalkeyfindingisthatthepass-throughofgasmarketshockstoeuroareain-flationappearsnon-linear.Wetestwhetherthetransmissiondiffersinperiodsoflowunemployment,highinflation(suchasinDiasetal.,2007)orafterlargeshocks(similartoGolosovandLucas,2007),andfindthatthelabormarketinparticularmattersforthetransmissionofgassupplyshocks.Inperiodsoflowunemploymentwherethelabormarkettendstobetight,supplyshockshaveuptoa50%strongerimpactonprices.Non-linearitiesrelatedtothesizeoftheshockorthelevelofinflationarelessrelevant

accordingtoourestimates.

ThevolatilityineconomicvariablestriggeredbytheCovid-19pandemicandthe

RussianinvasionofUkraine-includingingaspricesandinflation-challengesempirical

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models.Therearereasonstobelievethatourconclusionsdonotrelyonthatepisodealone,however.Asexpected,thereactionsaresomewhatsmallerwhenexcludingthelasttwoyearsofdatafromoursample,butourqualitativeresultsontransmissionhold.9The

modelisalsorobusttothedown-weightingofobservationsaroundtheCovid-19shockas

inLenzaandPrimiceri(2022).

Ourfindingsshednewlightontherelationshipbetweengaspricesandinfation,andcarryimportantlessonsforpolicymakers.Theunprecedentedvolatilityofgaspricescontributedtotheinfationproblemintheeuroarea,withthegaspriceshocksfeedingthroughproducerprices,wagesandpersistentlyliftingcoreinflation.Thistransmis-sionwaslikelyreinforcedbyatightlabormarket.Duetothispersistentpass-through,monetarypolicycannot"lookthrough"thesetypesofenergyshocks.Partofthepricepressurescomefromdemandshocks,butourresultsindicatethatalsogassupplyshockscanmorphintoforcesthatpersistentlyliftcoreinflation.Understandingwhatdrivesgaspricesiscrucialtodeterminewhichpolicyreactionismostappropriate,asnotallgas

shocksarealike

Theremainderofthepaperisstructuredasfollows:Section2reviewsrelatedlitera-ture,whileSection3presentsthedata,themethodologyandthehistoricaldecompositionoftheEuropeangasprice,partiallyasamodelvalidation.Section4detailsthetrans-missionofgasshockstoinfationandinvestigatespotentialnon-linearitiesofgassupplyshocksrelatedtothesizeoftheshock,thelevelofunemploymentandthelevelofinflation.

Section5concludes.

2Literaturereview

Ourpaperrelatestotwomainstrandsintheliterature:theonemodelingenergymarkets

andtheonethatanalysestheeconomicimpactofcommoditypriceshocks.

Modelingofenergymarkets:theliteratureonenergymarketshasmostlyfocusedontheoilmarketduetoitsroleasthemostimportantenergyinputintheglobaleconomy.SeveralstudiesusedVARmodelstoidentifydriversofoilpricefluctuations,eitherviasign

restrictionsorstructuralidentificationschemes(e.g.PeersmanandVanRobays,2009;

9Thelimitedamountofdataconstrainsourfexibilityinaddressingpotentialbiases,certainlywhenusinglocalprojections,aslocalprojectionsestimatesforthefuturehorizonkimpliesthelossofthefirstkdatapoints.

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KilianandMurphy,2012;BaumeisterandHamilton(2015);BaumeisterandHamilton(2019)),orthroughnarrativeanalysiswithinstrumentalvariableregressions(Caldaraetal.,2019).Theliteratureonidentifyinggasmarketshocksislessrich,althoughrecentlynewresearchhasfocusedonthisenergysegmentasgasandoilpricesincreasinglydivergedfollowingtheshiftfromoil-indexationto“gas-on-gas”pricingasdocumentedbyAdolfsenetal.(2022).MostoftheexistingcontributionsarehoweverfocusedontheUS;Rubaszeketal.(2021)useamodelinthespiritofBaumeisterandHamilton(2019)toidentifystructuraldriversoftheUSgaspricewhileWigginsandEtienne(2017)performasimilarexerciseusingsignrestrictionsasinKilianandMurphy(2012).Importantly,lessonsfromtheUSmarketcannotbeextendedtoEuropeasthetwomarketsarestructurallydifferent.TheUSisanet-exporterofnaturalgas,withproductiongreatlyexceedingdomesticdemand,whileextractionofgasintheEUisstillverylimited.10Assuch,ourpapercontributestothisliteraturebysettingupamodelspecifictoEuropeangasprice

dynamics.

Theeconomicimpactofcommoditypriceshocks:theliteratureontheeconomicimpactofcommoditypriceshockshasalsomainlyfocusedonoilandtheUSeconomy.l1Similarlytoourpaper,theempiricalliteraturehasmostlyexploitedsignrestrictionstoidentifyoilpriceshocks,seeKilianandZhou(2022)andAastveitetal.(2021),whilemorerecentlyK?nzig(2021)hasproposedastrategybasedonassetpricemovementsaroundOPECannouncement.Papersconsideringtheeuroareaenergymarkets,DeSantisandTornese(2023)andNerietal.(2023),alsotypicallyemploysignrestrictionsfindingthat

supplyshocksincreaseHICPenergyby1.1%andHICPby0.1%.

Theliteratureontheeconomicimpactofgasshocksisinsteadmorelimited.Toourknowledge,Chanetal.(2022)aretheonlyonestouseamicro-foundedmodeltostudytherealeconomiceffectsofhighergasprices.Bachmannetal.(2022)useinsteadinput-outputdatatoshowthatlowerexportsfromRussiaduring2022contributedtolower

GDPinGermanybybetween0.5%and3%.12

Morecloselyrelatedtoourwork,LópezMuiozetal.(2022)estimatethepass-through

10In2022,theEU'sexternalnaturalgasdependencyremainedhighat97%,despiteafallintotaldemandofnaturalgasbyabout13%relativetothepreviousyear(seeEurostatNaturalgassupplystatistics).

11SeeNakovandPescatori(2010),Filardoetal.(2020),BalkeandBrown(2018)andHouetal.(2016)

for122)andDiBellaetal.(2022)alsousesimilarapproachestosimulatetheimpact

ontheEuropeaneconomyofthelowergassupplyfromRussiaduring2022.

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ofhighergaspricestoeuroareapricesthroughreduced-formregressions.13Casolietal.(2022)andAlessandriandGazzani(2023)identifygassupplyshocksusingVARmodels,findingthatgaspriceshocksleadtopersistentincreasesinheadlineinflation.14Banburaetal.(2023)findpositiveeffectsofgaspriceshocksoncoreinflationinaBVARfortheeuroareathatincludesonetypeofgasshockalongalongerlistofmacroeconomicshocks.Themaindifferencetoourpaperisthatweidentifyawiderrangeofstructuralshocksinthegasmarketgivingamorecomprehensiveexplanationofrecentandhistoricalpricemovements.Oursettingalsoallowstoestimatethenon-lineareffectsofgasmarket

shockstoprices.

Thispapersitsatthecross-roadsofthesetwofieldsofresearchfocusingonthetransmissionofdifferentenergyshockstotheEuropeaneconomy.WebuildontheoilpriceliteraturetoidentifyshocksspecifictotheEuropeangasmarketthroughsignrestrictionsasinKilianandMurphy(2012)andPeersmanandVanRobays(2009).AshighlightedbyJadidzadehandSerletis(2017),theseshocksarespecifictotheenergymarketandarelikelynotcapturedbymodelsoftheglobaleconomy.Weusetheidentifiedshocksandestimatetheireffectsoninflation.Similartotheoilliterature(Kilian,2009),weshow

thatnotallgasshocksarealike.

3Dataandmethodology

Ourempiricalstrategyistwofold.Inafirststep,webuildaparsimoniousmodeloftheEuropeangasmarkettoidentifythreestructuralshocksdrivingtheEuropeangasprice:agassupplyshock,aneconomicactivityshockandaprecautionarygasinventoryshock.Themodelfocusesonlyonthegasmarkettoidentifyshocksspecifictothisen-ergysegment(JadidzadehandSerletis,2017;NguyenandOkimoto,2019)andtoavoidimposingunnecessaryrestrictionsonothermacrovariables.Inthesecondstep,si