A1447
Title: Natural gas prices and macroeconomies: Evidence from exporting and importing countries
Authors: Xiaojing Cai - Okayama University (Japan) [presenting]
Abstract: The macroeconomic effects of natural gas price shocks across eight major countries -four exporters and four importers- over 1997-2025 are examined using a constant-parameter structural vector autoregression (SVAR) model and a time-varying parameter (TVP) VAR model with stochastic volatility (SV). The responses of real gross domestic product (GDP), consumer price inflation (CPI), and interest rates are analyzed for exporter-importer asymmetries and time variation in transmission. Clear asymmetries in output responses are found: exporters experience positive GDP effects during periods of market stress, while importers exhibit weaker or negative reactions. CPI responses are generally positive, with stronger pass-through in hub-based pricing systems. Monetary policy reactions vary across countries, reflecting institutional differences. The TVP-VAR-SV results indicate that gas price transmission is episodic and state-dependent, with significant effects concentrated in extreme episodes rather than evolving smoothly over time. Robustness checks confirm the stability of these findings. Overall, the results highlight the heterogeneous and regime-dependent nature of gas price transmission in global commodity markets.
