Variability in coal prices: evidence from the U.S

Imhotep Alagidede () and Ian Lange

No 2009-01, Stirling Economics Discussion Papers from University of Stirling, Division of Economics

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.

Keywords: Coal prices; Variability; Persistence and randomness (search for similar items in EconPapers)
Date: 2009-01
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