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Trends, Persistence, and Volatility in Energy Markets

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  • Ghoshray, Atanu

    (University of Bath)

Abstract

This paper makes a threefold contribution to the underlying dynamic properties and causal effects of energy prices. Firstly, the paper makes a study of the underlying trends to help identify the time series path of nonrenewable energy resources, which can have far reaching consequences for economists and policy makers alike. The analysis is extended to also determine the persistence of oil price shocks. Secondly, the study examines the causal relation between oil prices and the macroeconomy allowing for nonlinear models that have been recently advocated in the literature. Finally, this study describes the relation between oil prices and agricultural commodities. From a policy perspective, these interrelationships of agricultural and oil prices warrant careful consideration in the context of the recent energy crisis, which may very well continue in the future.

Suggested Citation

  • Ghoshray, Atanu, 2011. "Trends, Persistence, and Volatility in Energy Markets," ADB Economics Working Paper Series 275, Asian Development Bank.
    • Handle: RePEc:ris:adbewp:0275
    Note: http://www.adb.org/sites/default/files/economics-wp275.pdf
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    Cited by:

    1. Canepa, Alessandra & Zanetti Chini, Emilio & Alqaralleh, Huthaifa, 2023. "Modelling and Forecasting Energy Market Cycles: A Generalized Smooth Transition Approach," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202318, University of Turin.

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