Assessing the impact of the Russia–Ukraine war on energy prices: A dynamic cross-correlation analysis

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F23%3A00583786" target="_blank" >RIV/67985556:_____/23:00583786 - isvavai.cz</a>

Výsledek na webu

<a href="https://www.sciencedirect.com/science/article/pii/S0378437123006398?via%3Dihub" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0378437123006398?via%3Dihub</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.physa.2023.129084" target="_blank" >10.1016/j.physa.2023.129084</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Assessing the impact of the Russia–Ukraine war on energy prices: A dynamic cross-correlation analysis

Popis výsledku v původním jazyce

The ongoing conflict between Russia and Ukraine has raised concerns about the stability of energy supplies from Russia, one of the largest crude oil, refined products and natural gas producers in the world. This study aims to assess the impact of the conflict on crude oil and refined product prices globally by applying bivariate and multivariate different cross-correlation methods to evaluate the prices relations covering three periods, namely (from February 2019 to February 2020, before Covid-19 pandemic and also before the Russia–Ukraine war), (from February 2021 to February 2022, during the Covid-19 pandemic and before the Russia–Ukraine war) and (from February 2022 to February 2023, during both the Covid-19 pandemic and Russia–Ukraine war). The results indicate a significant difference between and the other periods ( and ) for most bivariate pairs and multivariate groups. When comparing and , there was predominantly no significant difference for Heating Oil - Brent Crude Oil pair but a significant difference for Gasoil - Brent Crude Oil, suggesting a higher impact of the war on European diesel prices compared to the US diesel. Moreover, the adopted methods highlight the differential impacts and contagion effects observed in different energy commodities, emphasizing the complexity and unique dynamics within each market.

Název v anglickém jazyce

Assessing the impact of the Russia–Ukraine war on energy prices: A dynamic cross-correlation analysis

Popis výsledku anglicky

The ongoing conflict between Russia and Ukraine has raised concerns about the stability of energy supplies from Russia, one of the largest crude oil, refined products and natural gas producers in the world. This study aims to assess the impact of the conflict on crude oil and refined product prices globally by applying bivariate and multivariate different cross-correlation methods to evaluate the prices relations covering three periods, namely (from February 2019 to February 2020, before Covid-19 pandemic and also before the Russia–Ukraine war), (from February 2021 to February 2022, during the Covid-19 pandemic and before the Russia–Ukraine war) and (from February 2022 to February 2023, during both the Covid-19 pandemic and Russia–Ukraine war). The results indicate a significant difference between and the other periods ( and ) for most bivariate pairs and multivariate groups. When comparing and , there was predominantly no significant difference for Heating Oil - Brent Crude Oil pair but a significant difference for Gasoil - Brent Crude Oil, suggesting a higher impact of the war on European diesel prices compared to the US diesel. Moreover, the adopted methods highlight the differential impacts and contagion effects observed in different energy commodities, emphasizing the complexity and unique dynamics within each market.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2023

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Physica. A : Statistical Mechanics and its Applications

ISSN

0378-4371

e-ISSN

1873-2119

Svazek periodika

626

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

21

Strana od-do

129084

Kód UT WoS článku

001070239100001

EID výsledku v databázi Scopus

2-s2.0-85169573939