Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/29827
Authors: 
Zaklan, Aleksandar
Cullmann, Astrid
Neumann, Anne
von Hirschhausen, Christian R.
Year of Publication: 
2009
Series/Report no.: 
DIW Discussion Papers 956
Abstract: 
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.
Subjects: 
Steam coal
market integration
multivariate cointegration
JEL: 
L11
Q41
C22
Document Type: 
Working Paper

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