@article{ZaklanAbrellNeumann2016,
  author    = {Zaklan, Aleksandar and Abrell, Jan and Neumann, Anne},
  title     = {Stationarity changes in long-run energy commodity prices},
  series = {Energy economics},
  volume    = {59},
  journal   = {Energy economics},
  publisher = {Elsevier},
  address   = {Amsterdam},
  issn      = {0140-9883},
  doi       = {10.1016/j.eneco.2016.07.022},
  pages     = {96 -- 103},
  year      = {2016},
  abstract  = {Situated at the intersection of the literatures on speculative storage and non-renewable commodity scarcity, this paper considers whether changes in persistence have occurred in long-run U.S. prices of the energy commodities crude oil, natural gas and bituminous coal. We allow for a structural break when testing for a break in persistence to avoid a change in the stochastic properties of prices being confounded by an unaccounted-for deterministic shift in the price series. We find that coal prices are trend stationary throughout their evolution and that oil prices change from stationarity to non-stationarity in the decade between the late 1960s to late 1970s. The result on gas prices is ambiguous. Our results demonstrate the importance of accounting for a possible structural shift when testing for breaks in persistence, while being robust to the exact date of the structural break. Based on our analysis we caution against viewing long-run energy commodity prices as being non-stationary and conclude in favor of modeling commodity market fundamentals as stationary, meaning that speculative storage will tend to have a dampening effect on prices. We also cannot reject that long-run prices of coal and, with some hesitation, gas follow a Hotelling-type rule. In contrast, we reject the Hotelling rule for oil prices since the late 1960s/early 1970s. (C) 2016 Elsevier B.V. All rights reserved.},
  language  = {en}
}