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Business cycles and hydrocarbon gas liquids prices

Author

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  • Jahan, Sayeeda
  • Serletis, Apostolos

Abstract

This paper examines the basic stylized facts of hydrocarbon gas liquids (HGL) prices using monthly data for the United States, over the period from 1985:1 to 2018:1. We investigate the cyclical properties of HGL prices, and find that HGL prices are procyclical and mostly lead the cycle of industrial production. HGL prices are also positively contemporaneously correlated with crude oil and natural gas prices and are synchronous with the cycle of crude oil and natural gas prices. We also find that industrial production causes natural gas and HGL prices, that crude oil prices cause all HGL prices, and that there is no causality from natural gas prices to HGL prices.

Suggested Citation

  • Jahan, Sayeeda & Serletis, Apostolos, 2019. "Business cycles and hydrocarbon gas liquids prices," The Journal of Economic Asymmetries, Elsevier, vol. 19(C), pages 1-1.
    • Handle: RePEc:eee:joecas:v:19:y:2019:i:c:6
    DOI: 10.1016/j.jeca.2019.e00115
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    File URL: http://www.sciencedirect.com/science/article/pii/S1703494919300076
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    Cited by:

    1. Jinan Liu & Apostolos Serletis, 2023. "Volatility and dependence in energy markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(1), pages 15-37, March.
    2. Yasmeen Idilbi-Bayaa & Mahmoud Qadan, 2021. "Forecasting Commodity Prices Using the Term Structure," JRFM, MDPI, vol. 14(12), pages 1-39, December.
    3. Vatsa, Puneet, 2021. "Have Business Cycles Become More Synchronous After NAFTA?," American Business Review, Pompea College of Business, University of New Haven, vol. 24(1), pages 54-66, May.
    4. Vatsa, Puneet & Basnet, Hem C., 2020. "The dynamics of energy prices and the Norwegian economy: A common trends and common cycles analysis," Resources Policy, Elsevier, vol. 68(C).
    5. Balashova, Svetlana & Serletis, Apostolos, 2020. "Oil prices shocks and the Russian economy," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).

    More about this item

    Keywords

    Business cycles; HGL; Stylized facts; Hamilton filter; Granger causality tests;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy

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