مجلة الباحث الإقتصادي
Volume 13, Numéro 2, Pages 153-180
2025-12-30

Price Volatility In European Natural Gas Spot Markets: Impact Of The Russia-ukraine Crisis On Emerging Market Economies



Authors : Benhamida Hichem . Tabea Hirzel .

Abstract

This study investigates how the heightened volatility of European natural gas spot markets—intensified by Russia’s invasion of Ukraine on February 24, 2022—has affected emerging market economies. Using daily data from January 2020 to December 2024 (1,261 observations) and a GARCH(1,1)-X model, the analysis identifies a major structural shift in volatility dynamics: baseline volatility rose from 3.2% to 7.8%, and shock amplification increased by 170% (post-crisis α + δ = 0.249 vs. pre-crisis α = 0.092). High persistence (α + β = 0.9777) indicates lasting uncertainty with volatility half-lives of 31 days. Vector autoregression results show unidirectional causality from European gas prices to emerging market equities, exchange rates, and inflation, confirming significant spillovers. Impulse response functions reveal that a one-standard-deviation gas price shock causes peak declines of 0.82 percentage points in equity markets, 0.54 percentage points in currency value, and a 0.18 percentage point rise in inflation. Variance decomposition shows gas shocks explain up to 18.7% of equity variance within 20 days. Panel regressions across ten emerging markets demonstrate that energy-dependent economies experience up to 2.97 times stronger effects, especially in Europe. These results highlight the structural nature of post-2022 energy volatility, urging adaptive monetary and energy policy coordination in emerging markets.

Keywords

natural gas volatility ; GARCH modeling ; energy shocks ; emerging markets ; financial spillovers ; Russia-Ukraine crisis ; VAR analysis ; panel regression ; energy dependence ; international transmission channels.

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