Empirical Essays on Energy Economics

Abstract

This thesis comprises three essays on energy economics. In the first chapter, we focus on detecting gas price bubbles by employing the generalized sup ADF (GSADF) test by Phillips et al. (2015). We utilize the Log-Periodic Power Law Singularity (LPPLS) method established by Filimonov and Sornette (2013) as a robustness check in the European gas markets. The findings from the GSADF test indicate that TTF exhibits the fewest number of price bubbles, followed by NBP. LPPLS test reveal that both TTF and NBP exhibit the fewest numbers of price bubbles. We underscore a significant level of gas market integration, notably evident in the similarity of dates of the bubble period in the Europe. The second chapter determines the causal link among EU ETS carbon prices as well as energy prices by employing a time-varying causality test (TVGC) by Shi et al. (2020, 2018). The robustness of the results is checked including stock market data and the Geopolitical Risk Index. Our study reveals a more evident causal relation between fossil energy and carbon emissions, particularly after 2016. The results indicate variations in energy prices are triggered by factors like surplus LNG, sanctions affecting oil prices, the COVID-19 pandemic, political announcements, spike natural gas prices due to stock levels, and similar factors affect carbon prices. The final chapter, the outcomes of oil price shocks on sectoral unemployment are considered by applying a Structural Vector Autoregression (SVAR) technique in the U.S.. The findings note evident heterogeneity in the response of sectoral unemployment to the oil-related shocks.