Both run 24/7 depending on your coal stove. I don't think one would be cheaper to run then the other.
Freddy, Why do say one is more expensive to run?
You could get a power vent/direct vent for you furnace and they would only run when needed (when the furnace is running).
The Direct Vent Mounts "Directly" on the unit and blows the hot exhaust gases out the pipe and the pipe needs to be sealed really good! No baro normally can be installed (no room). Normally sized for the unit.
Power Vent(s) usually mount on the outside of the house and SUCK or PULL the fumes out of the unit, a Baro can be installed and adjusted accordingly, pipes would be under a vacuum (same as using a standard Chimney hookup). Power Vents are usually sized larger for many different operating conditions and sometimes have to be slowed down (via a Rheostat) for some coal applications.
A basic chimney is always the best solution, but if you don't have the room or a good chimney, the power vent is a good alternate.
go to http://www.fieldcontrols.com/venting.php
for SWG Power Vent information.