Gas price caps and volatility transmission in commodity and equity markets
研究了欧洲天然气市场不同价格上限机制对价格和波动的影响，通过模拟反事实政策，追踪其对能源、农产品、金属和股票市场的溢出效应，发现与波动挂钩的机制在抑制价格和波动传导上更有效。
We study the effects of alternative price-cap mechanisms applied to the European gas market on price and volatility dynamics. Within a multivariate framework with dynamic correlations, we simulate counterfactual policy regimes and trace their spillovers to energy, agricultural, metal, and equity markets. We focus on the European natural gas market from January 2013 to October 2023. The results show the following. First, a cap rule based on a fixed price mechanism consistently lowers energy prices, even if volatility can be high. Second, the gas price cap measure adopted by the European Commission and currently enforced is more conservative in terms of the probability of activation. Third, a mechanism directly related to gas price volatility performs better in containing energy prices and taming volatility spillover effects in commodity and equity markets.