TY  - JOUR
A1  - Zaklan, Aleksandar
A1  - Abrell, Jan
A1  - Neumann, Anne
T1  - Stationarity changes in long-run energy commodity prices
JF  - Energy economics
N2  - 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.
KW  - Non-renewable commodity prices
KW  - Competitive storage
KW  - Resource scarcity
KW  - Stationarity
KW  - Structural breaks
Y1  - 2016
U6  - https://doi.org/10.1016/j.eneco.2016.07.022
SN  - 0140-9883
SN  - 1873-6181
VL  - 59
SP  - 96
EP  - 103
PB  - Elsevier
CY  - Amsterdam
ER  -