Business Cycles and Hydrocarbon Gas Liquids Prices
Journal of Economic Asymmetries, Forthcoming
55 Pages Posted: 24 Jan 2019
Date Written: January 21, 2019
This paper examines the basic stylized facts of hydrocarbon gas liquids (HGL) prices using monthly data for the United States, over the period from 1985:1 to 2018:1. We investigate the cyclical properties of HGL prices, and find that HGL prices are procyclical and mostly lead the cycle of industrial production. HGL prices are also positively contemporaneously correlated with crude oil and natural gas prices and are synchronous with the cycle of crude oil and natural gas prices. We also find that industrial production causes natural gas and HGL prices, that crude oil prices cause all HGL prices, and that there is no causality from natural gas prices to HGL prices.
Keywords: Business Cycles; HGL; Stylized Facts; Hamilton Filter; Granger Causality Tests
JEL Classification: C32; E32; Q4
Suggested Citation: Suggested Citation