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Trends in world energy prices

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  • Ghoshray, Atanu
  • Johnson, Ben

Abstract

The correct identification of the time series path of non-renewable energy resources has far reaching consequences for economists and policymakers alike. This study builds on the existing literature by employing a data series that includes a sample period of institutional change and recently developed unit root testing procedures. Besides crude oil, natural gas and coal prices are also examined, aiming to further the knowledge of non-renewable energy resource time paths in order to inform future research and update the conclusions of past studies. The unit root tests allow for structural breaks and are based on the procedures developed by Zivot and Andrews (1992), Lumsdaine and Papell (1997) and Lee and Strazicich (2003). Finally, we investigate whether the trend changes signs in the regimes which are bounded by the structural breaks and quantify the prevalence of the trends over the sample period considered. The results show that the trend is not well represented by a single positive or negative trend. The variability of the trend suggests that forecasting energy prices should not typically occur about a single trend.

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Bibliographic Info

Article provided by Elsevier in its journal Energy Economics.

Volume (Year): 32 (2010)
Issue (Month): 5 (September)
Pages: 1147-1156

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Handle: RePEc:eee:eneeco:v:32:y:2010:i:5:p:1147-1156

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Keywords: Trends Structural breaks Energy prices;

References

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Citations

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Cited by:
  1. Sun, Qi & Xu, Weijun & Xiao, Weilin, 2013. "An empirical estimation for mean-reverting coal prices with long memory," Economic Modelling, Elsevier, vol. 33(C), pages 174-181.
  2. Vacha, Lukas & Barunik, Jozef, 2012. "Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis," Energy Economics, Elsevier, vol. 34(1), pages 241-247.
  3. Kumbaroğlu, Gürkan & Madlener, Reinhard, 2011. "Evaluation of Economically Optimal Retrofit Investment Options for Energy Savings in Buildings," FCN Working Papers 14/2011, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
  4. Volker Clausen & Hans-Werner Wohltmann, 2013. "Oil Price Dynamics and Monetary Policy in a Heterogeneous Monetary Union," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 233(2), pages 159-187, March.
  5. Vinod Mishra & Russell Smyth, 2014. "Unit root properties of natural gas spot and futures prices: The relevance of heteroskedasticity in high frequency data," Development Research Unit Working Paper Series 20-14, Monash University, Department of Economics.
  6. Śmiech, Sławomir & Papież, Monika, 2013. "Fossil fuel prices, exchange rate, and stock market: A dynamic causality analysis on the European market," Economics Letters, Elsevier, vol. 118(1), pages 199-202.
  7. Chen, Shyh-Wei & Lin, Shih-Mo, 2014. "Non-linear dynamics in international resource markets: Evidence from regime switching approach," Research in International Business and Finance, Elsevier, vol. 30(C), pages 233-247.

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