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Variability in coal prices: evidence from the U.S

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Author Info
Alagidede, Paul
Lange, Ian

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Abstract

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.

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File URL: http://hdl.handle.net/1893/713
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Publisher Info
Paper provided by University of Stirling, Department of Economics in its series Stirling Economics Discussion Papers with number 2009-01.

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Date of creation: 18 Jan 2009
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Handle: RePEc:stl:stledp:2009-01

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Postal: Department of Economics, Stirling, Stirling, Scotland FK9 4LA
Phone: +44 (0)1786 467470
Fax: +44 (0)1786 467469
Web page: http://www.econ.stir.ac.uk/
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Related research
Keywords: Coal prices; Variability; Persistence and randomness;

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This page was last updated on 2009-11-13.

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