Long Memory in Energy Prices in Germany

摘要

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 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, when breaks are taken into account, and permitting autocorrelated disturbances, evidence of mean reversion is found in practically all cases.