Long Memory in German Energy Price Indices

26 Pages Posted: 20 Sep 2012

See all articles by Carlos Pestana Barros

Carlos Pestana Barros

Technical University of Lisbon - Instituto Superior de Economia e Gestao

Guglielmo Maria Caporale

Brunel University London - Department of Economics and Finance; London South Bank University; CESifo (Center for Economic Studies and Ifo Institute); German Institute for Economic Research (DIW Berlin)

Luis A. Gil-Alana

University of Navarra - Department of Economics

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Date Written: September 20, 2012

Abstract

This study examines the long-memory properties of German energy price indices (specifically, import and export prices, as well as producer and consumer prices) for hard coal, lignite, mineral oil and natural gas adopting a fractional integration modelling framework. The analysis is undertaken using monthly data from January 2000 to August 2011. The results suggest nonstationary long memory in the series (with orders of integration equal to or higher than 1) when breaks are not allowed for. However, endogenous break tests indicate a single break in all series except for producer prices for lignite for which two breaks are detected. When such breaks are taken into account, and with autocorrelated disturbances, evidence of mean reversion is found in practically all cases.

Keywords: energy prices, Germany, fractional integration, persistence, breaks and outliers

JEL Classification: C320, E300

Suggested Citation

Barros, Carlos Pestana and Caporale, Guglielmo Maria and Gil-Alana, Luis A., Long Memory in German Energy Price Indices (September 20, 2012). CESifo Working Paper Series No. 3935, Available at SSRN: https://ssrn.com/abstract=2149474

Carlos Pestana Barros

Technical University of Lisbon - Instituto Superior de Economia e Gestao ( email )

R. Miguel Lupi, 20
Lisbon, 1200
Portugal

Guglielmo Maria Caporale (Contact Author)

Brunel University London - Department of Economics and Finance ( email )

Kingston Lane
Marie Jahoda Building
Uxbridge, Middlesex UB8 3PH
United Kingdom
+44 1895 266713 (Phone)
+44 1895 269770 (Fax)

HOME PAGE: http://www.brunel.ac.uk/about/acad/bbs/bbsstaff/ef_staff/guglielmocaporale/

London South Bank University ( email )

Centre for Monetary and Financial Economics
London
United Kingdom

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

German Institute for Economic Research (DIW Berlin) ( email )

Mohrenstra├če 58
Berlin, 10117
Germany

Luis A. Gil-Alana

University of Navarra - Department of Economics ( email )

Campus de Arrosadia
Pamplona, 31006
Spain

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