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Polypropylene Price Dynamics: Input Costs or Downstream Demand?

Lurion M. De Mello and Ronald D. Ripple

Year: 2017
Volume: Volume 38
Number: Number 4
DOI: 10.5547/01956574.38.4.ldem
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Abstract:
This paper investigates price dynamics between polypropylene (PP), propylene, naphtha, and crude oil together with proxies representing PP using industries. We test the dynamics in the South East Asian and North Western European markets. The paper is motivated due to the importance of the propylene and PP market in various downstream industries and importantly to aid producers in having a better understanding of how input costs and demand drive the prices. We employ a vector error correction framework, which facilitates testing different dynamics among the upstream and downstream prices. We find PP prices in both regions to be endogenous, albeit with some evolution over time, i.e., input costs and downstream demand factors tend to drive PP prices. In both regional markets shocks to naphtha and oil prices tend to be driven mostly by each other's price with little effect originating from PP and propylene prices.



Common Unobserved Determinants of Intraday Electricity Prices

Nikolaos S. Thomaidis, Gordon H. Dash, and Nina Kajiji

Year: 2019
Volume: Volume 40
Number: The New Era of Energy Transition
DOI: 10.5547/01956574.40.SI1.ntho
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Abstract:
This paper employs multilevel factor modelling techniques to unravel systematicunobserved determinants of the intraday and interzonal price curve dynamics forthe Pennsylvania-New Jersey-Maryland (PJM) interconnection. These techniquesmake an explicit separation of global drivers from region-specific common factors, thereby facilitating the identification of the actual sources of co-variability.Our empirical findings confirm the hypothesis that the common unobserved determinants of power prices in the PJM interconnection obey a block structure, someof which affect different segments of our panel. We argue that a multilevel factorapproach offers a more systematic and transparent representation of intertemporal and cross-sectional patterns in PJM electricity prices compared to alternativebrute-force VARMAX parametrizations and the single-level factor models, whichare often put forward in the literature as viable modelling alternatives.





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