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The Cyclical Behavior of Monthly NYMEX Energy Prices

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  • Serletis, A
  • Demp, T

Abstract

This paper systematically investigates the basic stylized facts of energy price movements using monthly data for the period that energy has been traded on organized exchanges and the methodology suggested by Kydland and Prescott (1990). The results indicate that energy prices are in general procyclical, in contrast to the accepted fact that energy prices are countercyclical and leading the cycle.

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Bibliographic Info

Paper provided by Calgary - Department of Economics in its series Papers with number 9703.

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Length: 6 pages
Date of creation: 1997
Date of revision:
Handle: RePEc:fth:calgar:9703

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Postal: THE UNIVERSITY OF CALGARY, DEPARTMENT OF ECONOMICS, 2500 UNIVERSITY DRIVE N.W. CALGARY ALBERTA CANADA T2N 1N4.
Phone: (403) 220-5857
Fax: (403) 282-5262
Web page: http://econ.ucalgary.ca/
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Keywords: BUSINESS CYCLES;

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References

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  1. Lucas, Robert E., 1977. "Understanding business cycles," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 5(1), pages 7-29, January.
  2. Cogley, Timothy & Nason, James M., 1995. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research," Journal of Economic Dynamics and Control, Elsevier, vol. 19(1-2), pages 253-278.
  3. Fiorito, Riccardo & Kollintzas, Tryphon, 1992. "Stylized Facts of Business Cycles in the G7 from a Real Business Cycles Perspective," CEPR Discussion Papers 681, C.E.P.R. Discussion Papers.
  4. King, R.G. & Rebelo, S.T., 1989. "Low Frequency Filtering And Real Business Cycles," RCER Working Papers 205, University of Rochester - Center for Economic Research (RCER).
  5. Janet Currie & Jonathan Gruber, 1995. "Health Insurance Eligibility, Utilization of Medical care, and Child Health," NBER Working Papers 5052, National Bureau of Economic Research, Inc.
  6. Prescott, Edward C., 1986. "Theory ahead of business-cycle measurement," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 11-44, January.
  7. Serletis, Apostolos, 1994. "A cointegration analysis of petroleum futures prices," Energy Economics, Elsevier, vol. 16(2), pages 93-97, April.
  8. Hamilton, James D, 1983. "Oil and the Macroeconomy since World War II," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 228-48, April.
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Cited by:
  1. Onour, Ibrahim, 2010. "Crude Oil Prices and Stock Markets in Major Oil Exporting Countries: Evidence on Decoupling Feature," MPRA Paper 23334, University Library of Munich, Germany.
  2. Ibrahim Onour, . "Is the high crude oil prices cause the soaring global food prices?," API-Working Paper Series 1001, Arab Planning Institute - Kuwait, Information Center.
  3. Bentzen, Jan, 2003. "An empirical analysis of gasoline price convergence for 20 OECD countries," Working Papers 03-19, University of Aarhus, Aarhus School of Business, Department of Economics.
  4. Serletis, Apostolos & Rangel-Ruiz, Ricardo, 2004. "Testing for common features in North American energy markets," Energy Economics, Elsevier, vol. 26(3), pages 401-414, May.

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