Universität zu Köln

Farag, Markos (2025). Essays in Empirical Analysis of Energy Markets. PhD thesis, Universität zu Köln.

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Abstract

This cumulative dissertation examines price formation, integration, and spillovers in energy and commodity markets using futures data and modern time-series methods. First, I evaluate whether futures prices improve forecasts of monthly real commodity prices. Using recursive real-time exercises across several commodities, I compare end-of-month futures quotes, monthly averages, and simple benchmarks. Forecasts based on the latest end-of-month prices, especially in non-parametric implementations, reduce short-horizon errors relative to a random walk. Second, I develop a monthly Structural VAR for the U.S. natural gas market that allocates total supply between domestic use, inventories, and exports. Estimation through 2023 shows low short-run supply and demand elasticities; near-term price movements are driven mainly by domestic consumption and inventory demand, while the influence of supply, macro activity, and export demand increases at longer horizons. A historical decomposition for 2022–2023 highlights the roles of domestic factors and the rise of LNG exports. Third, I study global gas market integration using Henry Hub, TTF, and East Asia futures (2016–2022). Linear and nonlinear cointegration is present before October 2021; afterward, capacity constraints and shocks weaken U.S.–Europe integration while Europe–Asia remains nonlinearly linked. Finally, I analyze Northwest European hubs with an R2-based connectedness approach. Contemporaneous spillovers dominate lagged effects, connectedness falls during stress, and integration resumes as conditions stabilize. Together, the results inform forecasting practice and clarify how trade and infrastructure shape gas market linkages.

Item Type:	Thesis (PhD thesis)
Creators:	Creators Email ORCID ORCID Put Code Farag, Markos mfarag@smail.uni-koeln.de UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-789396
Date:	2025
Language:	English
Faculty:	Faculty of Management, Economy and Social Sciences
Divisions:	Externe Einrichtungen > An-Institute > Associated Institutes of the Faculty of Management, Economics and Social Sciences > Institute for Energy Economics
Subjects:	Economics
Uncontrolled Keywords:	Keywords Language Commodity prices English Futures-based forecasting English Natural gas market English LNG trade and infrastructure English Market integration English Cointegration (linear and nonlinear) English Structural VAR (SVAR) English Return and volatility connectedness English
Date of oral exam:	19 December 2024
Referee:	Name Academic Title Bettzüge, Marc Oliver Prof. Dr. Breitung, Jörg Prof. Dr
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/78939