Examining the effect of EU sanctions using the event study methodology

Abstract

This study examines the impact of the European Union’s sanctions against Russia and the news about them on gas prices. Using the event study methodology, we primarily seek to answer whether the different types of news related to sanctions (any mention of the sanctions package, announcements of its content or adoption) impacted gas prices significantly and in differing ways. The 24 selected events were analysed using three different model variants (market model, GARCH, EGARCH) and four different (3-, 5-, 10-, and 15-day) window lengths. Our results confirmed our hypothesis that the mere mention of sanctions has an upward effect on gas prices, similar to the other two types of news.