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Title page 1

Contents 1

Abstract 2

Non-technical summary 3

1. Introduction 4

2. Literature Review 7

3. Gas Market BVAR 10

3.1. Data 10

3.2. Methodology: Structural Bayesian VAR 12

3.3. Shock Identification 13

4. BVAR Empirical Results: Gas Prices Drivers 16

4.1. Overall Evidence from the Historical Decomposition 16

4.2. Zooming on Key Events during the European Energy Crisis 20

4.3. Insights from IRFs: Magnitude and Persistence of Shocks 21

5. Pass-through of Gas Price Shocks to Market-Based Measures of Inflation Expectations 22

5.1. Data on Market-Based Measures of Inflation Expectations 23

5.2. Local Projection Methodology 24

5.3. Empirical results 25

5.3.1. Results for Realized Inflation 27

6. Robustness Checks and Complementary Analyses 31

7. Conclusion 34

References 36

Appendix 38

A. Additional descriptive graphs 38

B. TTF historical decomposition on specific events 39

C. Local projection analysis 43

D. Robustness checks 44

Acknowledgements 55

Tables 10

Table 1. Data description 10

Table 2. Sign restriction table 16

Table 3. Sign restriction table - Robustness check 33

Figures 12

Figure 1. Data used in the endogenous variable vector of the BVAR 12

Figure 2. Historical decomposition of the cumulated changes in TTF prices 18

Figure 3. Impulse Response Functions from the BVAR 22

Figure 4. Impulse Response Functions of headline inflation expectations to the gas BVAR structural shocks 27

Figure 5. Impulse Response Functions of core inflation expectations to the gas BVAR structural shocks 28

Figure 6. Impulse Response Functions of realized headline inflation to the gas BVAR structural shocks 29

Figure 7. Impulse Response Functions of realized core inflation to the gas BVAR structural shocks 30

Appendix Tables 39

Table B.1. Average shock contribution to TTF historical decomposition 39

Appendix Figures 38

Figure A.1. European domestic natural gas production 38

Figure A.2. Market-based inflation expectations 38

Figure B.3. Historical decomposition of the cumulated changes in TTF prices - Reduction in Russian flows, October 2021 39

Figure B.4. Historical decomposition of the cumulated changes in TTF prices - Invasion of Ukraine, February 2022 40

Figure B.5. Historical decomposition of the cumulated changes in TTF prices - Reduction in Russian flows, June 2022 41

Figure B.6. Historical decomposition of the cumulated changes in the JKM-TTF spread 42

Figure C.7. Variance decomposition of headline and core inflation expectations 43

Figure D.8. Historical decomposition of the cumulated changes in TTF prices - Gas consumption detrended 44

Figure D.9. Historical decomposition of the cumulated changes in TTF prices - Without restrictions on equity prices 45

Figure D.10. Historical decomposition of the cumulated changes in TTF prices - Identification with LNG flows 46

Figure D.11. Historical decomposition of the cumulated changes in TTF prices - Without weather-related demand shocks 47

Figure D.12. Historical decomposition of the cumulated changes in TTF prices - 8 lags 48

Figure D.13. Historical decomposition of the cumulated changes in TTF prices - 4 lags 49

Figure D.14. Impulse Response Functions of headline inflation compensations to the gas BVAR structural shocks 50

Figure D.15. Impulse Response Functions of core inflation compensations to the gas BVAR structural shocks 51

Figure D.16. Impulse Response Functions of headline inflation expectations to the gas BVAR structural shocks - pre-crisis 52

Figure D.17. Impulse Response Functions of core inflation expectations to the gas BVAR structural shocks - pre-crisis 53

Figure D.18. Impulse Response Functions of headline inflation expectations (CES) to the gas BVAR structural shocks 54

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