TIME-SERIES ANALYSIS OF PRICE INTERRELATIONS IN MAJOR U.S. FOSSIL FUELS MARKETS

DRAGAN MILJKOVIC, NATE DALBEC

Abstract


The objective of this study is to analyze price movements and interrelations of U.S natural gas, oil, and coal prices, as three main fossil fuels in the US. Structural break were identified in both natural gas and oil prices in February of 2009, at the peak of U.S. financial crisis. Both natural gas and oil are shown to be weak substitutes for coal, while the opposite relationships are not found. Stronger U.S. dollar led to lower fossil fuel prices, while only oil prices have been shown to depend on movement of income per capita and stock market.


Keywords


U.S. fossil fuel prices; time-series econometrics; structural breaks; weak substitutability

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DOI: https://doi.org/10.15173/esr.v23i1.3314


DRAGAN MILJKOVIC
North Dakota University
United States

NATE DALBEC