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dc.contributor.authorZaklan, Aleksandar-
dc.contributor.authorAbrell, Jan-
dc.contributor.authorNeumann, Anne-
dc.date.accessioned2019-07-19T09:19:14Z-
dc.date.available2019-07-19T09:19:14Z-
dc.date.issued2016-08-03-
dc.identifier.issn0140-9883de_CH
dc.identifier.issn1873-6181de_CH
dc.identifier.urihttps://digitalcollection.zhaw.ch/handle/11475/17579-
dc.description.abstractSituated 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.de_CH
dc.language.isoende_CH
dc.publisherElsevierde_CH
dc.relation.ispartofEnergy Economicsde_CH
dc.rightsLicence according to publishing contractde_CH
dc.subjectCompetitive storagede_CH
dc.subjectResource scarcityde_CH
dc.subjectStationarityde_CH
dc.subjectStructural breakde_CH
dc.subjectNon-renewable commodity pricede_CH
dc.subject.ddc333.79: Energiede_CH
dc.titleStationarity changes in long-run energy commodity pricesde_CH
dc.typeBeitrag in wissenschaftlicher Zeitschriftde_CH
dcterms.typeTextde_CH
zhaw.departementSchool of Management and Lawde_CH
zhaw.organisationalunitZentrum für Energie und Umwelt (CEE)de_CH
dc.identifier.doi10.1016/j.eneco.2016.07.022de_CH
zhaw.funding.euNode_CH
zhaw.originated.zhawNode_CH
zhaw.pages.end103de_CH
zhaw.pages.start96de_CH
zhaw.publication.statuspublishedVersionde_CH
zhaw.volume59de_CH
zhaw.publication.reviewPeer review (Publikation)de_CH
zhaw.author.additionalNode_CH
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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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