Journal
ENERGY ECONOMICS
Volume 77, Issue -, Pages 119-138Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.eneco.2018.12.002
Keywords
Integration; Information transmissions; Generalized VAR model; Steam coal
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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. (C) 2019 Elsevier B.V. All rights reserved.
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