Universität zu Köln

Empirical essays on the price formation in resource markets

Panke, Timo (2016) Empirical essays on the price formation in resource markets. PhD thesis, Universität zu Köln.

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    The thesis at hand seeks to augment the understanding of price formation in resource markets. More specifically, the five essays that are part of the thesis are concerned with two research questions: i) Do players in resource markets behave strategically and, if so, how does their behaviour influence price formation? ii) How do different trade products of the same commodity influence each other's price formation? While the first four essays focus on the former research question, the final essay is concerned with the latter. Chapter 2 assesses the effects of a supply shock on the global natural gas market. By modelling gas supply as a spatial Cournot oligopoly, the paper investigates the vulnerability of different gas importing countries to price increases during a supply shock. It seeks to evaluate the countries' strategic positions during a crisis, which are mainly influenced by their access to gas infrastructure and resource endowment. Chapter 3 deals again with supply-side oligopolies. However, the paper presented here does not account only for one market but rather for two interacting markets. The research is motivated by the need for complementary inputs in steel production, namely iron ore and coking coal. Interestingly, some of the biggest mining companies play a major role in both markets. Therefore, we question the optimal business strategy for these oligopolists: Do they optimise the iron ore and the coking coal divisions on a firm or a division level? In contrast to the previous chapters, Chapter 5 presents an econometric analysis that uses a novel application of stochastic frontier analysis (SFA) to determine the exercise of market power in the iron ore market on a firm level. More specifically, the effect of macroeconomic variables and firm-specific characteristics on the individual firm's ability to drive prices above marginal costs measured by firm-specific Lerner indices is estimated. The focus of the thesis’ final chapter lies on the analysis of price formation in the international market for thermal coal. International trade of thermal coal, and in particular trade of derivatives, is still in its infancy compared to other commodity markets. We are interested in better understanding the process of price formation in such an environment. To this end, we analyse price formation in an intertemporal framework, i.e., the causal relationship between spot and futures prices, as well as an interregional context, i.e., between prices of two of the most important global trading hubs.

    Item Type: Thesis (PhD thesis)
    Panke, Timotjp9128@gmail.com
    URN: urn:nbn:de:hbz:38-68339
    Subjects: Economics
    Uncontrolled Keywords:
    Resource marketsEnglish
    Strategic behaviourEnglish
    Market powerEnglish
    Price formationEnglish
    Mathematical simulation modelsEnglish
    Time series analysisEnglish
    Panel dataEnglish
    Faculty: Wirtschafts- u. Sozialwissenschaftliche Fakultät
    Divisions: Wirtschafts- u. Sozialwissenschaftliche Fakultät > Energiewirtschaftliches Institut
    Language: English
    Date: 26 February 2016
    Date Type: Publication
    Date of oral exam: 17 June 2016
    Full Text Status: Public
    Date Deposited: 12 Jul 2016 13:53:41
    NameAcademic Title
    Höffler, FelixProf. Dr.
    Growitsch, ChristianPD Dr.
    URI: http://kups.ub.uni-koeln.de/id/eprint/6833

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