Alagidede P & Lange I (2009) Variability in coal prices: evidence from the U.S.. Stirling Economics Discussion Paper, 2009-01.
Monthly U.S. coal price time series data are tested to determine the persistence of shocks. The time series is then disaggregated by length of agreement to further explore the first and second moments of pricing behaviour. Results show that prices have a variance that changes over time and tend to be highly persistent. Prices from long-term transaction agreements tend to require more lags and have a higher degree of persistence.
Coal prices; Variability; Persistence and randomness; Coal trade United States Costs
- C22: Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51: Model Construction and Estimation
- Q31: Nonrenewable Resources and Conservation: Demand and Supply; Prices
- Q41: Energy: Demand and Supply; Prices