Fragmentation and Vulnerability in the Global Natural Gas Market for a Sample of 59 Countries: A Combined Approach of Econometric Modeling and Hierarchical Clustering

This article aims to examine how the natural gas market evolved following the price shocks observed between 2020 and 2024, paying particular attention to market integration and the persistence of these shocks. The proposed analysis uses daily price data for the Title Transfer Facility (TTF), the main European benchmark traded on the Intercontinental Exchange and quoted in EUR/MWh, as well as Henry Hub (HH), the United States benchmark. These series are combined with a country panel on natural gas production, consumption, and gross domestic product for 59 economies, subject to data availability. The cointegration results show that TTF and HH prices moved together in 2019, but this relationship broke down in 2020 and did not return to its previous pattern in the following years. Granger causality tests point to a one-directional transmission from Henry Hub to Europe. Moreover, GARCH estimates indicate that TTF reacts almost twice as strongly to daily shocks as HH, while volatility remains persistent in both markets. Fixed-effects estimates place the TTF price elasticity of import spending close to 0.5, providing evidence consistent with a causal link between higher natural gas prices and higher domestic energy expenditure. Finally, the clustering analysis complements the econometric modeling by identifying four groups of countries defined by gas import dependency and gas intensity. This classification also offers implications for the global natural gas market since it points to the need for cluster-specific policy approaches rather than a single solution applied to every country.