Who leads the global gas market? Geopolitics and price transmission between the U.S. and Europe

Recent global events, including the Coronavirus Disease (COVID-19) pandemic and the intensification of geopolitical tensions, have reshaped energy market structures and renewed interest in the role of geopolitical risk in economic dynamics. In this context, natural gas has emerged as a pivotal component of the energy transition, while simultaneously becoming increasingly exposed to geopolitical disruptions. This paper investigates this context using a time–frequency framework based on wavelet techniques, employing monthly observations from January 1999 to July 2025. We analyze how these interactions evolve across different horizons and under changing global conditions. The results reveal a structurally asymmetric transmission mechanism. While the United States (US) gas market appears relatively insulated from geopolitical shocks in the short run, the European Union (EU) market exhibits a strong and persistent sensitivity, particularly at medium-term frequencies. Moreover, the analysis highlights a transatlantic price transmission pattern, with US gas prices systematically leading European prices, suggesting a hierarchical structure of global gas markets. At longer horizons, we uncover a feedback mechanism whereby energy prices themselves help shape geopolitical risk. These findings are consistent with the emergence of a more fragmented and geopolitically driven energy system, in which the interaction between energy markets and geopolitical risk is both time-varying and mutually reinforcing. From a policy perspective, the results underscore the relevance of the energy trilemma and highlight the need to incorporate geopolitical risk into energy and macroeconomic policy frameworks.