Stationarity changes in long-run energy commodity prices

Zaklan, Aleksandar; Abrell, Jan; Neumann, Anne

doi:10.1016/j.eneco.2016.07.022

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
Page(s):	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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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.