Business cycles and hydrocarbon gas liquids prices

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...

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Bibliographic Details
Published in:Journal of economic asymmetries 2019-06, Vol.19, p.e00115, Article e00115
Main Authors: Jahan, Sayeeda, Serletis, Apostolos
Format: Article
Language:English
Subjects:
Business cycles
Granger causality tests
Hamilton filter
HGL
Stylized facts
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Summary: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.
ISSN:1703-4949
DOI:10.1016/j.jeca.2019.e00115