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The Cyclical Behavior of Monthly NYMEX Energy Prices

Author

Listed:
  • 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.

Suggested Citation

  • Serletis, A & Demp, T, 1997. "The Cyclical Behavior of Monthly NYMEX Energy Prices," Papers 9703, Calgary - Department of Economics.
    • Handle: RePEc:fth:calgar:9703
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    Cited by:

    1. Ibrahim A. Onour, 2012. "Crude oil price and stock markets in major oil-exporting countries: evidence of decoupling feature," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 5(1), pages 1-10.
    2. Apostolos Serletis & Ricardo Rangel-Ruiz, 2007. "Testing for Common Features in North American Energy Markets," World Scientific Book Chapters, in: Quantitative And Empirical Analysis Of Energy Markets, chapter 14, pages 172-187, World Scientific Publishing Co. Pte. Ltd..
    3. Guo, Yanfeng & Wen, Xiaoqian & Wu, Yanrui & Guo, Xiumei, 2016. "How is China's coke price related with the world oil price? The role of extreme movements," Economic Modelling, Elsevier, vol. 58(C), pages 22-33.
    4. Puneet Vatsa & Hem C. Basnet & Franklin G. Mixon & Kamal P. Upadhyaya, 2024. "Stock Markets Cycles and Macroeconomic Dynamics," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 30(3), pages 255-278, August.
    5. Puneet Vatsa, 2021. "Have Business Cycles Become More Synchronous After NAFTA?," American Business Review, Pompea College of Business, University of New Haven, vol. 24(1), pages 54-66.
    6. 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.
    7. Dias, José G. & Ramos, Sofia B., 2014. "Energy price dynamics in the U.S. market. Insights from a heterogeneous multi-regime framework," Energy, Elsevier, vol. 68(C), pages 327-336.
    8. Ibrahim Onour, "undated". "Is the high crude oil prices cause the soaring global food prices?," API-Working Paper Series 1001, Arab Planning Institute - Kuwait, Information Center.
    9. Vatsa, Puneet & Basnet, Hem C., 2020. "The dynamics of energy prices and the Norwegian economy: A common trends and common cycles analysis," Resources Policy, Elsevier, vol. 68(C).
    10. Miljkovic, Dragan & Vatsa, Puneet, 2023. "On the linkages between energy and agricultural commodity prices: A dynamic time warping analysis," International Review of Financial Analysis, Elsevier, vol. 90(C).
    11. Apostolos Serletis & Asghar Shahmoradi, 2007. "Business Cycles and Natural Gas Prices," World Scientific Book Chapters, in: Quantitative And Empirical Analysis Of Energy Markets, chapter 7, pages 73-81, World Scientific Publishing Co. Pte. Ltd..
    12. Balashova, Svetlana & Serletis, Apostolos, 2020. "Oil prices shocks and the Russian economy," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).

    More about this item

    Keywords

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    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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