Business Cycles and Hydrocarbon Gas Liquids Prices

Journal of Economic Asymmetries, Forthcoming

55 Pages Posted: 24 Jan 2019

See all articles by Sayeeda Jahan

Sayeeda Jahan

University of Calgary

Apostolos Serletis

University of Calgary - Department of Economics

Date Written: January 21, 2019

Abstract

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

Jahan, Sayeeda and Serletis, Apostolos, Business Cycles and Hydrocarbon Gas Liquids Prices (January 21, 2019). Journal of Economic Asymmetries, Forthcoming. Available at SSRN: https://ssrn.com/abstract=3320101 or http://dx.doi.org/10.2139/ssrn.3320101

Sayeeda Jahan

University of Calgary ( email )

Calgary, Alberta
Canada

Apostolos Serletis (Contact Author)

University of Calgary - Department of Economics ( email )

2500 University Drive, NW
Calgary, Alberta T2N 1N4
Canada
403 220-4091 (Phone)
403 282-5262 (Fax)

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