The Cyclical Behavior of Monthly NYMEX Energy Prices
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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- Prescott, Edward C., 1986.
"Theory ahead of business-cycle measurement,"
Carnegie-Rochester Conference Series on Public Policy,
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- Lucas, Robert E., 1977. "Understanding business cycles," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 5(1), pages 7-29, January. Full references (including those not matched with items on IDEAS)