KETEP 세계에너지시장정보

Abstract 1

Non-technical summary 2

1 Introduction 5

2 Econometric framework 10
 2.1 Model 11
 2.2 Detailed specifications 13
 2.3 Benchmarks 17

3 Real-time forecast evaluation 19
 3.1 Real-time data 19
 3.2 Design of the evaluation 19

4 Results 20

5 Sensitivity of energy inflation to energy commodity prices 33

6 Concluding remarks 37

References 38

Appendix A Data availability and construction 43
 A.1 Pre-tax consumer gas and electricity prices 45
 A.2 Cut-off dates for real-time vintages 47

Appendix B Robustness 49
 B.1 Sub-sample analysis: pre-covid sample 49
 B.2 Error-corrected weekly models 51
 B.3 Tax-corrected vs. tax-uncorrected 53
 B.4 Medium-sized BVAR including all sub-components at monthly frequency and crude oil and nautral gas prices 55