The dynamic relationship between natural gas and commodity prices through the Russian-Ukrainian crisis framework

This paper aims to investigate the sensitivity of the gas market: Russian Natural Gas and Liquefied Gas, to other commodity categories. It sheds light on the Russian-Ukrainian crisis by u sing an Autoregressive Distributed Lag model on daily prices of Russian Natural Gas, Liquefied Natural Gas, WTI, Brent, Gold, Silver, Corn, and Coffee over the period January 1, 2020, to May 30, 2023. Results suggest that the LNG market displays greater sensitivity to other commodity markets. They highlight that the agricultural market is the main driver of the natural gas market's evolution, both in the short and long term. Shifting the focus in the metals market allows us to detect a significant relationship between Natural Gas and gold prices only for the long term with RNG, and LNG in both the short and long term. On the other hand, this research paper argues that the WTI market led the gas market. The overall findings claim that even if LNG has found success in recent years, due to its ecological advantages or its potential substitution power of Russian gas, market participants must invest in it while taking into consideration its strong connectivity to other different commodity markets to avoid sudden and potential excessive response by excess-correlation to impulses from these markets. • This paper aims to investigate the sensitivity of the gas market: Russian Natural Gas and Liquefied Gas to other commodities categories in a geopolitical risk framework. • We use an Autoregressive Distributed Lag model on daily Russian Natural Gas, Liquefied Natural, WTI, Brent, Gold, Silver, Corn, and Coffee prices over the period separating January 1st, 2020, and May 30th, 2023. • Our findings argue that the LNG market displays greater sensitivity to other commodity markets. They highlight that the main explanator of the natural gas market evolution is agricultural commodities in the short and long term. Findings argue that the LNG market displays greater sensitivity to other commodity markets, highlighting that corn is the main driver of the global natural gas market evolution in the short and long term. • The overall findings claim that even if LNG has found success in recent years, market participants must invest in it while taking into consideration its strong connectivity to other commodity markets.