1 Introduction 2

2 Model, data, identification of shocks, and estimation 4

           2.1 Overview of models: Shocks 4

           2.2 Oil model 6

           2.3 Extending the framework to natural gas 9

           2.4 Estimation 11

3 Transmission of shocks 12

           3.1 Financial variables impulse response functions 12

           3.2 Impact on energy markets 13

           3.3 Macroeconomic effects: consumer prices and unemployment 16

4 Historical episodes 21

5 Conclusions 24