Publication type: Article in scientific journal
Type of review: Peer review (publication)
Title: Stationarity changes in long-run energy commodity prices
Authors: Zaklan, Aleksandar
Abrell, Jan
Neumann, Anne
et. al: No
DOI: 10.1016/j.eneco.2016.07.022
Published in: Energy Economics
Volume(Issue): 59
Pages: 96
Pages to: 103
Issue Date: 3-Aug-2016
Publisher / Ed. Institution: Elsevier
ISSN: 0140-9883
1873-6181
Language: English
Subjects: Competitive storage; Resource scarcity; Stationarity; Structural break; Non-renewable commodity price
Subject (DDC): 333.79: Energy
Abstract: 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
Fulltext version: Published version
License (according to publishing contract): Licence according to publishing contract
Departement: School of Management and Law
Organisational Unit: Center for Energy and Environment (CEE)
Appears in collections:Publikationen School of Management and Law

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