September 10, 2025

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

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Prices on the Romanian energy market are interconnected, reflecting responses to their own past developments and external shocks.
Electricity prices are influenced by coal prices and their historical trends, while natural gas prices react strongly to electricity prices.
Inflation and exchange rate have a smaller impact on electricity prices, indicating that market-specific variables play a larger role.
The VAR method provides insights for energy decision-making and aids companies in risk management and investment planning.

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Empirical analysis reveals interactions between electricity, natural gas, and coal prices in Romania, suggesting macroeconomic effects are limited.

Drăcea et al. (2025) studied this question.

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Empirical analysis reveals interactions between electricity, natural gas, and coal prices in Romania, suggesting macroeconomic effects are limited.