Price and Volatility Spillovers Across the International Steam Coal Market
53 Pages Posted: 31 Mar 2017
Date Written: March 30, 2017
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 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.
Keywords: Integration; Information transmissions; Generalized VAR model; Steam coal
JEL Classification: C32, F18, F49, Q37
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