From gas prices to GDP: Natural gas shocks and macroeconomic transmission in Italy

This paper explores how European natural gas disturbances are transmitted to the Italian economy and distinguishes energy-market pass-through from macroeconomic effects. The analysis uses monthly data from 2015M1 to 2026M6 and quarterly real GDP from 2015Q1 to 2026Q1. The empirical approach relies on error-correction analysis for the price block, a stationary short-run multivariate model, the structural gas-supply shock series by Alessandri and Gazzani (2025), quarterly local GDP projections, and historical plausibility of the 2022 energy crisis. The results clearly highlight a hierarchy in the transmission mechanism. A 10% gas-price innovation pushes wholesale electricity prices up by about 6.5% at impact, and the gas-to-electricity channel is the strongest and most robust. The pass-through to consumer-price inflation is smaller and delayed, whereas industrial-production responses are imprecise estimates. At the aggregate level, the direct quarterly GDP response to the identified gas-shortage shocks seems weak, statistically fragile, and sensitive across time horizons, so the data do not suggest a large mechanical gas-to-GDP elasticity. As such, the 2022 historical exercise is a plausibility test and not an accounting decomposition of the data. The 2026 episode is seen as the result of renewed energy-market stress rather than a nonlinear regime. In general, the findings support diversification, storage, grid investment, renewables, and system flexibility as pillars of macroeconomic resilience.