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The Globalization of Steam Coal Markets and the Role of Logistics: An Empirical Analysis

  • Aleksandar Zaklan
  • Astrid Cullmann
  • Anne Neumann
  • Christian von Hirschhausen

In this paper, we provide a comprehensive multivariate cointegration analysis of three parts of the steam coal value chain - export, transport and import prices. The analysis is based on a rich dataset of international coal prices; in particular, we combine data on steam coal prices with freight rates, covering the period December 2001 until August 2009 at weekly frequency. We then test whether the demand and supply side components of steam coal trade are consistently integrated with one another. In addition, export and import prices as well as freight rates for individual trading routes, across regions and globally are combined. We find evidence of significant yet incomplete integration. We also find heterogeneous short-term dynamics of individual markets. Furthermore, we examine whether logistics enter coal price dynamics through transportation costs, which are mainly determined by oil prices. Our results suggest that this is generally not the case.

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File URL: http://www.diw.de/documents/publikationen/73/diw_01.c.344851.de/dp956.pdf
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Paper provided by DIW Berlin, German Institute for Economic Research in its series Discussion Papers of DIW Berlin with number 956.

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Length: 21 p.
Date of creation: 2009
Date of revision:
Handle: RePEc:diw:diwwpp:dp956
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  1. David F. Hendry & Katarina Juselius, 2001. "Explaining Cointegration Analysis: Part II," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1), pages 75-120.
  2. Linda Warell, 2006. "Market Integration in the International Coal Industry: A Cointegration Approach," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1), pages 99-118.
  3. Raymond Li & Roselyne Joyeux & Ronald D. Ripple, 2010. "International Steam Coal Market Integration," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 181-202.
  4. Lance J. Bachmeier & James M. Griffin, 2006. "Testing for Market Integration: Crude Oil, Coal, and Natural Gas," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 55-72.
  5. Ellerman, A Denny, 1995. "The world price of coal," Energy Policy, Elsevier, vol. 23(6), pages 499-506, June.
  6. Siliverstovs, Boriss & L'Hegaret, Guillaume & Neumann, Anne & von Hirschhausen, Christian, 2005. "International market integration for natural gas? A cointegration analysis of prices in Europe, North America and Japan," Energy Economics, Elsevier, vol. 27(4), pages 603-615, July.
  7. Warell, Linda, 2005. "Defining geographic coal markets using price data and shipments data," Energy Policy, Elsevier, vol. 33(17), pages 2216-2230, November.
  8. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  9. Ekawan, Rudianto & Duchene, Michel, 2006. "The evolution of hard coal trade in the Atlantic market," Energy Policy, Elsevier, vol. 34(13), pages 1487-1498, September.
  10. Ekawan, Rudianto & Duchene, Michel & Goetz, Damien, 2006. "The evolution of hard coal trade in the Pacific market," Energy Policy, Elsevier, vol. 34(14), pages 1853-1866, September.
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