It's "very important" that Europe responds to Russia's "unprecedented" behavior, the Vice President of the European Commission Valdis Drombrovskis told CNBC, in the wake of the nerve agent attack on a former spy. Several European countries decided to expel some Russian diplomats from their national territories last month. The decision followed a nerve agent attack on a former spy, Sergei Skripal, and his daughter in the U.K. The British Prime Minister Theresa May blamed Russian President Vladimir Putin for the attack. "Certainly there are concerns with this Skripal case. It was indeed chemical weapons used on European territory, so it's quite unprecedented," Dombrovskis told CNBC's Steve Sedgwick at the sidelines of the European House Ambrosetti Forum on Saturday. "Europe has been clear it's not going to tolerate some kind of aggressive behavior from Russia," the former Latvian Prime Minister said, noting that it's "very important" to react to that kind of behavior.

One of the key hurdles for Europe, though, is its reliance on Russian energy. According to the European Commission's website, "the EU imports a significant amount of oil, natural gas, uranium, and coal from Russia." There have been a few occasions when Russia decided to reduce its energy supply, leading to energy shortages in Europe. For instance, in 2009, Russia's energy provider Gazprom cut natural gas exports to Europe, leading to higher prices in Ukraine and shortages in different European countries. "(EU-Russian) relations are complicated but then it takes both sides to be willing to engage constructively and stop certain aggressive behavior," Dombrovskis said. "So far, as we see there are still some issues," he added.

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Valdis Dombrovskis John Thys | AFP | Getty Images