Assessing the impact of the Russia-Ukraine war on energy prices: A dynamic cross-correlation analysis

The ongoing conflict between Russia and Ukraine has raised concerns about the stability of energy supplies from Russia, one of the largest crude oil, refined products and natural gas producers in the world. This study aims to assess the impact of the conflict on crude oil and refined product prices globally by applying bivariate and multivariate different cross-correlation methods to evaluate the prices relations covering three periods, namely P0 (from February 2019 to February 2020, before Covid-19 pandemic and also before the Russia-Ukraine war), P1 (from February 2021 to February 2022, during the Covid-19 pandemic and before the Russia-Ukraine war) and P2 (from February 2022 to February 2023, during both the Covid-19 pandemic and Russia-Ukraine war). The results indicate a significant difference between P0 and the other periods (P1 and P2) for most bivariate pairs and multivariate groups. When comparing P1 and P2, there was predominantly no significant difference for Heating Oil -Brent Crude Oil pair but a significant difference for Gasoil -Brent Crude Oil, suggesting a higher impact of the war on European diesel prices compared to the US diesel. Moreover, the adopted methods highlight the differential impacts and contagion effects observed in different energy commodities, emphasizing the complexity and unique dynamics within each market.& COPY; 2023 Elsevier B.V. All rights reserved.