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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|Date of creation:||1997|
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- Edward C. Prescott, 1986.
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Federal Reserve Bank of Minneapolis, issue Fall, pages 9-22.
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"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.
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- 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.
- Janet Currie & Jonathan Gruber, 1995. "Health Insurance Eligibility, Utilization of Medical care, and Child Health," NBER Working Papers 5052, National Bureau of Economic Research, Inc.
- Serletis, Apostolos, 1994. "A cointegration analysis of petroleum futures prices," Energy Economics, Elsevier, vol. 16(2), pages 93-97, April.
- King, R.G. & Rebelo, S.T., 1989.
"Low Frequency Filtering And Real Business Cycles,"
RCER Working Papers
205, University of Rochester - Center for Economic Research (RCER).
- Lucas, Robert E., 1977. "Understanding business cycles," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 5(1), pages 7-29, January.
- 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.
- Fiorito, Riccardo & Kollintzas, Tryphon, 1994. "Stylized facts of business cycles in the G7 from a real business cycles perspective," European Economic Review, Elsevier, vol. 38(2), pages 235-269, February.
- 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.
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