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Causality-in-mean and causality-in-variance within the international steam coal market

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  • Papież, Monika
  • Śmiech, Sławomir

Abstract

The purpose of this paper is to investigate the integration of the steam coal market. The analysis of dependencies between mean rates of return of prices on the steam coal market and volatility spillover was conducted using weekly data from the period 04.01.2002 to 30.12.2011. The prices of the world's largest exporters and importers on the Pacific and Atlantic markets were chosen to analyse the dependencies. The methodology was based on the tests from Cheung and Ng (1996) and Hong (2001), which allow for the analysis of Granger causality both in mean and in variance. The analyses indicate that the dependence between participants is not the same. The strongest links were observed between the pairs of participants from the same market (that is, either the Atlantic market or the Pacific market), and the price of Australian coal turned out to be the most important factor in shaping other prices on the Pacific market. On the Atlantic market, the coal prices in the Amsterdam–Rotterdam–Antwerp (ARA) ports and the Richards Bay port had the greatest influence on coal prices and were the Granger cause of prices in the Pacific region.

Suggested Citation

  • Papież, Monika & Śmiech, Sławomir, 2013. "Causality-in-mean and causality-in-variance within the international steam coal market," Energy Economics, Elsevier, vol. 36(C), pages 594-604.
  • Handle: RePEc:eee:eneeco:v:36:y:2013:i:c:p:594-604
    DOI: 10.1016/j.eneco.2012.11.004
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    References listed on IDEAS

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    Cited by:

    1. Jacek Białek, 2014. "Application of the Original Price Index Formula to Measuring the CPI’s Commodity Substitution Bias," Statistics in Transition new series, Główny Urząd Statystyczny (Polska), vol. 15(1), pages 83-96, January.
    2. Jonek-Kowalska Izabela, 2014. "Financial aspects of changes in the level of finished goods inventory in a mining enterprise," Gospodarka Surowcami Mineralnymi / Mineral Resources Management, De Gruyter Open, vol. 30(4), pages 1-20, December.
    3. Papież, Monika & Śmiech, Sławomir, 2015. "Dynamic steam coal market integration: Evidence from rolling cointegration analysis," Energy Economics, Elsevier, vol. 51(C), pages 510-520.
    4. Ji, Qiang & Fan, Ying, 2016. "Modelling the joint dynamics of oil prices and investor fear gauge," Research in International Business and Finance, Elsevier, vol. 37(C), pages 242-251.
    5. Jonek Kowalska, Izabela, 2015. "Challenges for long-term industry restructuring in the Upper Silesian Coal Basin: What has Polish coal mining achieved and failed from a twenty-year perspective?," Resources Policy, Elsevier, vol. 44(C), pages 135-149.

    More about this item

    Keywords

    Return and volatility linkages; Steam market integration; Cross-correlation; Granger causality; EGARCH;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F49 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Other
    • L11 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Production, Pricing, and Market Structure; Size Distribution of Firms
    • Q37 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Issues in International Trade
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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