Trends, Persistence, and Volatility in Energy Markets
51 Pages Posted: 26 Nov 2011
Date Written: October 1, 2011
This paper makes a threefold contribution to the underlying dynamic properties and causal effects of energy prices. Firstly, the paper makes a study of the underlying trends to help identify the time series path of nonrenewable energy resources, which can have far reaching consequences for economists and policy makers alike. The analysis is extended to also determine the persistence of oil price shocks. Secondly, the study examines the causal relation between oil prices and the macroeconomy allowing for nonlinear models that have been recently advocated in the literature. Finally, this study describes the relation between oil prices and agricultural commodities. From a policy perspective, these interrelationships of agricultural and oil prices warrant careful consideration in the context of the recent energy crisis, which may very well continue in the future.
Keywords: energy prices, trends, persistence, industrial production, agricultural commodities, macroeconomic, trade, finance
JEL Classification: C22, E32, Q40
Suggested Citation: Suggested Citation