A note on the relationship between electricity and natural gas prices across European markets in times of distress


  • IREA Working Papers


  • We study the transmission of natural gas price shocks to electricity prices across different scenarios of electricity generation for thirteen European electricity markets. To this end, we propose a statistic based on the estimation of conditional quantile regression models, which allows us to identify the most vulnerable countries in the region to variations in the global price of natural gas, under scenarios of generation distress. We point out to market integration and different electricity generation mixes as the main factors underlying our results. Our main contribution is the analysis of the proposed static for the case of European markets from a comparative perspective, which helps to guide and support timely policy responses in European countries, aiming to isolate the most vulnerable consumers and firms from dramatic electricity price increments as those observed in the first three quarters of 2021. The most vulnerable countries according to our indicator are Portugal and Spain, while the most resilient are Italy and Finland.

fecha de publicación

  • 2021

Enfoque geográfico

Líneas de investigación

  • Energy crises
  • Energy shortages
  • Gas markets
  • Power markets
  • Quantile regression


  • 2021/17