Price and Volatility Spillovers Across the International Steam Coal Market

Batten, Jonathan A., Brzeszczynski, Janusz, Ciner, Cetin, Lau, Marco C. K., Lucey, Brian and Yarovaya, Larisa (2019) Price and Volatility Spillovers Across the International Steam Coal Market. Energy Economics, 77. pp. 119-138. ISSN 0140-9883

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Official URL: https://doi.org/10.1016/j.eneco.2018.12.002

Abstract

We examine the degree of integration of the global steam coal market. Using a variety of measures, we show that the Australian market remains the dominant force in setting world coal prices, followed by Mozambique and South Africa. We find little evidence of asymmetric price and volatility transmission. In fact, most markets react to both positive and negative shocks in a symmetric manner. The coal market displays a significant degree of integration, although this effect varies over time. While China provides a major source of volatility to the global coal market, it is relatively insignificant in terms of price transmission.

Item Type: Article
Uncontrolled Keywords: Integration; Information transmissions; Generalized VAR model; Steam coal
Subjects: L100 Economics
Department: Faculties > Business and Law > Newcastle Business School
Depositing User: Paul Burns
Date Deposited: 07 Jan 2019 16:18
Last Modified: 19 Nov 2019 09:04
URI: http://nrl.northumbria.ac.uk/id/eprint/37497

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