Variability in coal prices: evidence from the U.S.

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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Year of publication:	2009-01
Authors:	ALAGIDEDE, PAUL ; Lange, Ian Andrew
Institutions:	Department of Economics, University of Stirling
Subject:	Coal prices \| Variability \| Persistence and randomness

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Series:	Stirling Economics Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Stirling Economics Discussion Papers Number 2009-01
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005748772