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Business cycles and natural gas prices

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  • Apostolos Serletis
  • Asghar Shahmoradi

Abstract

This paper investigates the basic stylised facts of natural gas price movements using data for the period that natural gas has been traded on an organised exchange and the methodology suggested by Kydland and Prescott (1990). Our results indicate that natural gas prices are procyclical and lag the cycle of industrial production. Moreover, natural gas prices are positively contemporaneously correlated with United States consumer prices and lead the cycle of consumer prices, raising the possibility that natural gas prices might be a useful guide for US monetary policy, like crude oil prices are, possibly serving as an important indicator variable. Copyright 2005 Organization of the Petroleum Exporting Countries.

Suggested Citation

  • Apostolos Serletis & Asghar Shahmoradi, 2005. "Business cycles and natural gas prices," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 29(1), pages 75-84, March.
  • Handle: RePEc:bla:opecrv:v:29:y:2005:i:1:p:75-84
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    Cited by:

    1. Archanskaïa, Elizaveta & Creel, Jérôme & Hubert, Paul, 2012. "The nature of oil shocks and the global economy," Energy Policy, Elsevier, vol. 42(C), pages 509-520.
    2. Wagner, Stephan M. & Mizgier, Kamil J. & Papageorgiou, Stylianos, 2017. "Operational disruptions and business cycles," International Journal of Production Economics, Elsevier, vol. 183(PA), pages 66-78.
    3. Ewing Bradley T. & Reyes Angel L & Thompson Mark A & Wetherbe James C, 2008. "Examination and Comparison of Hispanic and White Unemployment Rates," Journal of Business Valuation and Economic Loss Analysis, De Gruyter, vol. 3(1), pages 1-10, October.
    4. Yuepeng Cui & Daan Liang & Bradley T. Ewing & Ali Nejat, 2016. "Development, specification and validation of Hurricane Resiliency Index," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 82(3), pages 2149-2165, July.
    5. Benhmad, François, 2013. "Dynamic cyclical comovements between oil prices and US GDP: A wavelet perspective," Energy Policy, Elsevier, vol. 57(C), pages 141-151.
    6. Ayman Omar, 2015. "West Texas Intermediate and Brent Spread during Organization of the Petroleum Exporting Countries Supply Disruptions," International Journal of Energy Economics and Policy, Econjournals, vol. 5(3), pages 693-703.
    7. Priyanshi Gupta & Anurag Goyal, 2015. "Impact of oil price fluctuations on Indian economy," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 39(2), pages 141-161, June.
    8. Hedi Arouri, Mohamed El & Khuong Nguyen, Duc, 2010. "Oil prices, stock markets and portfolio investment: Evidence from sector analysis in Europe over the last decade," Energy Policy, Elsevier, vol. 38(8), pages 4528-4539, August.
    9. Ewing, Bradley T. & Thompson, Mark A., 2007. "Dynamic cyclical comovements of oil prices with industrial production, consumer prices, unemployment, and stock prices," Energy Policy, Elsevier, vol. 35(11), pages 5535-5540, November.
    10. Jogeir Myklebust & Asgeir Tomasgard & Sjur Westgaard, 2010. "Forecasting gas component prices with multivariate structural time series models," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 34(2), pages 82-106, June.
    11. Yaya, OlaOluwa Simon & Gil-Alana, Luis Alberiko & Carcel, Hector, 2015. "Testing fractional persistence and non-linearities in the natural gas market: An application of non-linear deterministic terms based on Chebyshev polynomials in time," Energy Economics, Elsevier, vol. 52(PA), pages 240-245.

    More about this item

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • N70 - Economic History - - Economic History: Transport, International and Domestic Trade, Energy, and Other Services - - - General, International, or Comparative
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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