Long Memory in German Energy Price Indices
AbstractThis study examines the long-memory properties of German energy price indices (specifically, import and export prices, as well as producer and consumer prices) for hard coal, lignite, mineral oil and natural gas adopting a fractional integration modelling framework. The analysis is undertaken using monthly data from January 2000 to August 2011. The results suggest nonstationary long memory in the series (with orders of integration equal to or higher than 1) when breaks are not allowed for. However, endogenous break tests indicate a single break in all series except for producer prices for lignite for which two breaks are detected. When such breaks are taken into account, and with autocorrelated disturbances, evidence of mean reversion is found in practically all cases.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by DIW Berlin, German Institute for Economic Research in its series Discussion Papers of DIW Berlin with number 1186.
Length: 25 p.
Date of creation: 2012
Date of revision:
Energy prices; Germany; fractional integration; persistence; breaks and outliers;
Other versions of this item:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Francis X. Diebold & Atsushi Inoue, 2000.
"Long Memory and Regime Switching,"
NBER Technical Working Papers
0264, National Bureau of Economic Research, Inc.
- Lutz Kilian, 2010. "Explaining Fluctuations in Gasoline Prices: A Joint Model of the Global Crude Oil Market and the U.S. Retail Gasoline Market," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 87-112.
- Luis A. Gil-Alana, 2008.
"Fractional integration and structural breaks at unknown periods of time,"
Journal of Time Series Analysis,
Wiley Blackwell, vol. 29(1), pages 163-185, 01.
- Luis A. Gil-Alana, . "Fractional integration and structural breaks at unknown periods of time," Faculty Working Papers 16/06, School of Economics and Business Administration, University of Navarra.
- Chen, Pei-Fen & Lee, Chien-Chiang, 2007. "Is energy consumption per capita broken stationary? New evidence from regional-based panels," Energy Policy, Elsevier, vol. 35(6), pages 3526-3540, June.
- Jing Li & Henry Thompson, 2010.
"A Note on the Oil Price Trend and GARCH Shocks,"
The Energy Journal,
International Association for Energy Economics, vol. 0(Number 3), pages 159-166.
- Tsoskounoglou, Miltos & Ayerides, George & Tritopoulou, Efi, 2008. "The end of cheap oil: Current status and prospects," Energy Policy, Elsevier, vol. 36(10), pages 3797-3806, October.
- Thomas Mikosch & Catalin Starica, 2004. "Non-stationarities in financial time series, the long range dependence and the IGARCH effects," Econometrics 0412005, EconWPA.
- Paresh Kumar Narayan & Russell Smyth, 2005.
"Are Shocks To Energy Consumption Permanent Or Temporary? Evidence From 182 Countries,"
Development Research Unit Working Paper Series
06/05, Monash University, Department of Economics.
- Kumar Narayan, Paresh & Smyth, Russell, 2007. "Are shocks to energy consumption permanent or temporary? Evidence from 182 countries," Energy Policy, Elsevier, vol. 35(1), pages 333-341, January.
- Bhaskara Rao, B. & Rao, Gyaneshwar, 2009.
"Structural breaks and energy efficiency in Fiji,"
Elsevier, vol. 37(10), pages 3959-3966, October.
- Mishra, Vinod & Sharma, Susan & Smyth, Russell, 2009. "Are fluctuations in energy consumption per capita transitory? Evidence from a panel of Pacific Island countries," Energy Policy, Elsevier, vol. 37(6), pages 2318-2326, June.
- Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
- Kang, Sang Hoon & Kang, Sang-Mok & Yoon, Seong-Min, 2009. "Forecasting volatility of crude oil markets," Energy Economics, Elsevier, vol. 31(1), pages 119-125, January.
- Lean, Hooi Hooi & Smyth, Russell, 2009. "Long memory in US disaggregated petroleum consumption: Evidence from univariate and multivariate LM tests for fractional integration," Energy Policy, Elsevier, vol. 37(8), pages 3205-3211, August.
- Mohn, Klaus & Osmundsen, Petter, 2008. "Exploration economics in a regulated petroleum province: The case of the Norwegian Continental Shelf," Energy Economics, Elsevier, vol. 30(2), pages 303-320, March.
- Boone, Jeff P., 2001. "Empirical evidence for the superiority of non-US oil and gas investments," Energy Economics, Elsevier, vol. 23(2), pages 211-226, March.
- Peter M. Robinson & M. Henry, 1999. "Long and short memory conditional heteroskedasticity in estimating the memory parameter of levels," LSE Research Online Documents on Economics 304, London School of Economics and Political Science, LSE Library.
- Karbassi, A.R. & Abduli, M.A. & Mahin Abdollahzadeh, E., 2007. "Sustainability of energy production and use in Iran," Energy Policy, Elsevier, vol. 35(10), pages 5171-5180, October.
- Robinson, P.M. & Henry, M., 1999. "Long And Short Memory Conditional Heteroskedasticity In Estimating The Memory Parameter Of Levels," Econometric Theory, Cambridge University Press, vol. 15(03), pages 299-336, June.
- Barros, Carlos Pestana & Gil-Alana, Luis A. & Payne, James E., 2011.
"An analysis of oil production by OPEC countries: Persistence, breaks, and outliers,"
Elsevier, vol. 39(1), pages 442-453, January.
- Carlos Pestana Barros & Luis A. Gil-Alana & James E. Payne, 2011. "An Analysis of Oil Production by OPEC Countries: Persistence, Breaks, and Outliers," Faculty Working Papers 01/11, School of Economics and Business Administration, University of Navarra.
- Serletis, Apostolos, 1992. "Maturity effects in energy futures," Energy Economics, Elsevier, vol. 14(2), pages 150-157, April.
- Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas, 2007. "Nonstationarity-extended local Whittle estimation," Journal of Econometrics, Elsevier, vol. 141(2), pages 1353-1384, December.
- Thomas Mikosch & Cătălin Stărică, 2004. "Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 378-390, February.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Bibliothek).
If references are entirely missing, you can add them using this form.