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

0583786 - ÚTIA 2024 RIV NL eng J - Journal Article
Inacio Jr., C. M. C. - Krištoufek, Ladislav - David, S. A.
Assessing the impact of the Russia–Ukraine war on energy prices: A dynamic cross-correlation analysis.
Physica. A : Statistical Mechanics and its Applications. Roč. 626, č. 1 (2023), č. článku 129084. ISSN 0378-4371. E-ISSN 1873-2119
Institutional support: RVO:67985556
Keywords : Crude oil * Commodities * Price dynamics * Russia–Ukraine conflict * Covid-19
OECD category: Finance
Impact factor: 3.3, year: 2022
Method of publishing: Limited access
http://library.utia.cas.cz/separaty/2024/E/kristoufek-0583786.pdf https://www.sciencedirect.com/science/article/pii/S0378437123006398?via%3Dihub

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.
Permanent Link: https://hdl.handle.net/11104/0352120