Trends, Persistence, and Volatility in Energy Markets

51 Pages Posted: 26 Nov 2011  

Atanu Ghoshray

University of Bath - Department of Economics

Date Written: October 1, 2011

Abstract

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

Ghoshray, Atanu, Trends, Persistence, and Volatility in Energy Markets (October 1, 2011). Asian Development Bank Economics Working Paper No. 275. Available at SSRN: https://ssrn.com/abstract=1964445 or http://dx.doi.org/10.2139/ssrn.1964445

Atanu Ghoshray (Contact Author)

University of Bath - Department of Economics ( email )

Claverton Down
Bath, BA2 7AY
United Kingdom

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