Fat Tails in German Natural Gas Prices?
使用尾指数估计量研究2011至2024年德国天然气市场极端价格概率的变化，发现2022年能源危机期间极端价格风险显著上升但属暂时性，未出现长期肥尾趋势，储气水平是缓解极端风险的关键因素。
In this paper, we use a tail index estimator to examine how the likelihood of extreme natural gas prices in the German market has evolved between 2011 and 2024. After controlling for the extraordinary supply disruptions associated with the 2022 energy crisis, we find no evidence of a sustained increase in the fatness of price tails over time. While the crisis period clearly heightened the probability of extreme price outcomes, this effect appears to be transient rather than indicative of a permanent structural change. Furthermore, the influence of natural gas demand on tail fatness is less clear-cut once the crisis conditions are accounted for, with storage levels emerging as a key factor in mitigating extreme price risks. Overall, our results suggest that the German natural gas market, despite facing significant short-term shocks, does not exhibit a long-term trend toward fatter tails in its price distributions.