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Oil and other energy commodities

Author

Listed:
  • Syed Abul, Basher

Abstract

This chapter provides a survey of studies concerning the relationship between crude oil prices and other energy commodities such as coal and natural gas. Although such an assessment demands an interdisciplinary approach to provide readers with important background information, the approach taken here is based upon the economics of the energy market. The empirical studies summarized here can be categorized into three groups: time series studies analyzing market integration between oil and other energy commodities, studies that examine the predictive content of futures prices for energy, and the role of tail risk in explaining price volatilities of oil and other energy commodities. Several suggestions for future research are offered.

Suggested Citation

  • Syed Abul, Basher, 2019. "Oil and other energy commodities," MPRA Paper 97318, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:97318
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    File URL: https://mpra.ub.uni-muenchen.de/97318/1/MPRA_paper_97318.pdf
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    References listed on IDEAS

    as
    1. Vacha, Lukas & Barunik, Jozef, 2012. "Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis," Energy Economics, Elsevier, vol. 34(1), pages 241-247.
    2. repec:aen:journl:2008v29-03-a03 is not listed on IDEAS
    3. Bryan Kelly & Hao Jiang, 2014. "Editor's Choice Tail Risk and Asset Prices," The Review of Financial Studies, Society for Financial Studies, vol. 27(10), pages 2841-2871.
    4. Christiane Baumeister & Lutz Kilian, 2016. "Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us," Journal of Economic Perspectives, American Economic Association, vol. 30(1), pages 139-160, Winter.
    5. Menzie D. Chinn & Michael LeBlanc & Olivier Coibion, 2005. "The Predictive Content of Energy Futures: An Update on Petroleum, Natural Gas, Heating Oil and Gasoline," NBER Working Papers 11033, National Bureau of Economic Research, Inc.
    6. Baffes, John, 2007. "Oil spills on other commodities," Resources Policy, Elsevier, vol. 32(3), pages 126-134, September.
    7. repec:aen:journl:33-2-02 is not listed on IDEAS
    8. Hamilton, James D., 2011. "Nonlinearities And The Macroeconomic Effects Of Oil Prices," Macroeconomic Dynamics, Cambridge University Press, vol. 15(S3), pages 364-378, November.
    9. David I. Stern, 2012. "Interfuel Substitution: A Meta‐Analysis," Journal of Economic Surveys, Wiley Blackwell, vol. 26(2), pages 307-331, April.
    10. repec:aen:journl:2006v27-02-a04 is not listed on IDEAS
    11. Reinhard Ellwanger, 2017. "On the Tail Risk Premium in the Oil Market," Staff Working Papers 17-46, Bank of Canada.
    12. repec:aen:journl:2008v29-02-a03 is not listed on IDEAS
    13. Ewing, Bradley T. & Malik, Farooq & Ozfidan, Ozkan, 2002. "Volatility transmission in the oil and natural gas markets," Energy Economics, Elsevier, vol. 24(6), pages 525-538, November.
    Full references (including those not matched with items on IDEAS)

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    Keywords

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    JEL classification:

    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

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