| Publikationstyp: | Beitrag in wissenschaftlicher Zeitschrift |
| Art der Begutachtung: | Peer review (Publikation) |
| Titel: | Stationarity changes in long-run energy commodity prices |
| Autor/-in: | Zaklan, Aleksandar Abrell, Jan Neumann, Anne |
| et. al: | No |
| DOI: | 10.1016/j.eneco.2016.07.022 |
| Erschienen in: | Energy Economics |
| Band(Heft): | 59 |
| Seite(n): | 96 |
| Seiten bis: | 103 |
| Erscheinungsdatum: | 3-Aug-2016 |
| Verlag / Hrsg. Institution: | Elsevier |
| ISSN: | 0140-9883 1873-6181 |
| Sprache: | Englisch |
| Schlagwörter: | Competitive storage; Resource scarcity; Stationarity; Structural break; Non-renewable commodity price |
| Fachgebiet (DDC): | 333.79: Energie |
| Zusammenfassung: | Situated at the intersection of the literatures on speculative storage and non-renewable commodity scarcity, this paper considers whether changes in persistence have occurred in long-run U.S. prices of the energy commodities crude oil, natural gas and bituminous coal. We allow for a structural break when testing for a break in persistence to avoid a change in the stochastic properties of prices being confounded by an unaccounted-for deterministic shift in the price series. We find that coal prices are trend stationary throughout their evolution and that oil prices change from stationarity to non-stationarity in the decade between the late 1960s to late 1970s. The result on gas prices is ambiguous. Our results demonstrate the importance of accounting for a possible structural shift when testing for breaks in persistence, while being robust to the exact date of the structural break. Based on our analysis we caution against viewing long-run energy commodity prices as being non-stationary and conclude in favor of modeling commodity market fundamentals as stationary, meaning that speculative storage will tend to have a dampening effect on prices. We also cannot reject that long-run prices of coal and, with some hesitation, gas follow a Hotelling-type rule. In contrast, we reject the Hotelling rule for oil prices since the late 1960s/early 1970s. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/17579 |
| Volltext Version: | Publizierte Version |
| Lizenz (gemäss Verlagsvertrag): | Lizenz gemäss Verlagsvertrag |
| Departement: | School of Management and Law |
| Organisationseinheit: | Zentrum für Energie und Umwelt (CEE) |
| Enthalten in den Sammlungen: | Publikationen School of Management and Law |
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Zaklan, A., Abrell, J., & Neumann, A. (2016). Stationarity changes in long-run energy commodity prices. Energy Economics, 59, 96–103. https://doi.org/10.1016/j.eneco.2016.07.022
Zaklan, A., Abrell, J. and Neumann, A. (2016) ‘Stationarity changes in long-run energy commodity prices’, Energy Economics, 59, pp. 96–103. Available at: https://doi.org/10.1016/j.eneco.2016.07.022.
A. Zaklan, J. Abrell, and A. Neumann, “Stationarity changes in long-run energy commodity prices,” Energy Economics, vol. 59, pp. 96–103, Aug. 2016, doi: 10.1016/j.eneco.2016.07.022.
ZAKLAN, Aleksandar, Jan ABRELL und Anne NEUMANN, 2016. Stationarity changes in long-run energy commodity prices. Energy Economics. 3 August 2016. Bd. 59, S. 96–103. DOI 10.1016/j.eneco.2016.07.022
Zaklan, Aleksandar, Jan Abrell, and Anne Neumann. 2016. “Stationarity Changes in Long-Run Energy Commodity Prices.” Energy Economics 59 (August): 96–103. https://doi.org/10.1016/j.eneco.2016.07.022.
Zaklan, Aleksandar, et al. “Stationarity Changes in Long-Run Energy Commodity Prices.” Energy Economics, vol. 59, Aug. 2016, pp. 96–103, https://doi.org/10.1016/j.eneco.2016.07.022.
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