%0 Journal Article %A ZHANG Kun %A ZHANG Li-ying %A ZHAO Yu %A ZENG Zhao-zhi %A WEN Jian-zhong %T Long-run Relationships and Short-run Dynamics among Coal, Natural Gas, Uranium and Oil Prices:1985-2011 %D 2013 %R 10.11849/zrzyxb.2013.06.003 %J JOURNAL OF NATURAL RESOURCES %P 911-921 %V 28 %N 6 %X

To examine long-run relationships and short-run dynamics of prices among the four energy resources, including coal, natural gas, uranium and crude oil in the international market, the paper uses the monthly data of IMF from 1985 through to 2011, separately constructs a VAR and a VEC model. The results include: 1) there is a permanent relationship among four energy resources in the long run: so far the price of uranium changes by 1%, it will lead to price of coal and natural gas negatively change 2.11% and 7.01% respectively, and price of oil positively change 7.97%. 2) The result of impulse response analysis on the energy resources indicates that they all react immediately to innovations of themselves to a large extent. However, the durations are different at all: to uranium, a little bit fade only till the 15 months end, while coal and oil goes down after 6 and 2 months later, respectively, and natural gas plummets in no time. 3) Except that the variance of natural gas can be decomposed into variance of natural gas and oil with the ratio of nearly 70:30 at the end of 15 month, the variance of uranium, coal and oil price almost comes from themselves. 4) The coefficient of natural gas is big and negative, with significant statistics. It means that the deviation of natural gas price would be corrected in the short run. However, the coefficients of coal, oil and uranium are very small, and the ones of oil and uranium are not significant. So, oil and uranium price doesn't have any ability of dynamic adjustment.

%U https://www.jnr.ac.cn/EN/10.11849/zrzyxb.2013.06.003