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The cyclical behavior of monthly NYMEX energy prices

  • Serletis, Apostolos
  • Kemp, Todd

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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File URL: http://www.sciencedirect.com/science/article/pii/S0140-9883(97)00007-8
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Article provided by Elsevier in its journal Energy Economics.

Volume (Year): 20 (1998)
Issue (Month): 3 (June)
Pages: 265-271

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Handle: RePEc:eee:eneeco:v:20:y:1998:i:3:p:265-271
Contact details of provider: Web page: http://www.elsevier.com/locate/eneco

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  1. 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.
  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. Janet Currie & Jonathan Gruber, 1996. "Health Insurance Eligibility, Utilization of Medical Care, and Child Health," The Quarterly Journal of Economics, Oxford University Press, vol. 111(2), pages 431-466.
  4. Edward C. Prescott, 1986. "Theory ahead of business cycle measurement," Staff Report 102, Federal Reserve Bank of Minneapolis.
  5. King, Robert G. & Rebelo, Sergio T., 1993. "Low frequency filtering and real business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 17(1-2), pages 207-231.
  6. 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.
  7. Serletis, Apostolos, 1994. "A cointegration analysis of petroleum futures prices," Energy Economics, Elsevier, vol. 16(2), pages 93-97, April.
  8. Lucas, Robert E., 1977. "Understanding business cycles," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 5(1), pages 7-29, January.
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