Business Cycles and Hydrocarbon Gas Liquids Prices
Date
2018-06-29
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Abstract
This thesis 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. I follow the Kydland and Prescott (1990) methodology, using the Hamilton’s (2017) regression filter to investigate the cyclical properties of HGL prices. The results indicate 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. I also find that industrial production causes natural gas and HGL prices, where, normal butane, isobutane, and crude oil prices cause industrial production. Moreover, I find that crude oil prices cause all HGL prices. Finally, there is no causality from natural gas prices to HGL prices, however, there is causality from ethane, normal butane, and naphtha prices to natural gas prices.
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Business cycles, Hydrocarbon gas liquids prices, Stylized facts, Hamilton filter, Hodrick-Prescott (HP) filter, Granger causality tests
Citation
Jahan, S. (2018). Business Cycles and Hydrocarbon Gas Liquids Prices (Master's thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca. doi:10.11575/PRISM/32257