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Oil and other energy commodities

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  • Syed Abul, Basher

Abstract

This chapter provides a survey of studies concerning the relationship between crude oil prices and other energy commodities such as coal and natural gas. Although such an assessment demands an interdisciplinary approach to provide readers with important background information, the approach taken here is based upon the economics of the energy market. The empirical studies summarized here can be categorized into three groups: time series studies analyzing market integration between oil and other energy commodities, studies that examine the predictive content of futures prices for energy, and the role of tail risk in explaining price volatilities of oil and other energy commodities. Several suggestions for future research are offered.

Suggested Citation

  • Syed Abul, Basher, 2019. "Oil and other energy commodities," MPRA Paper 97318, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:97318
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    File URL: https://mpra.ub.uni-muenchen.de/97318/1/MPRA_paper_97318.pdf
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    References listed on IDEAS

    as
    1. Vacha, Lukas & Barunik, Jozef, 2012. "Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis," Energy Economics, Elsevier, vol. 34(1), pages 241-247.
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    7. Hamilton, James D., 2011. "Nonlinearities And The Macroeconomic Effects Of Oil Prices," Macroeconomic Dynamics, Cambridge University Press, vol. 15(S3), pages 364-378, November.
    8. Reinhard Ellwanger, 2017. "On the Tail Risk Premium in the Oil Market," Staff Working Papers 17-46, Bank of Canada.
    9. David I. Stern, 2012. "Interfuel Substitution: A Meta‐Analysis," Journal of Economic Surveys, Wiley Blackwell, vol. 26(2), pages 307-331, April.
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    More about this item

    Keywords

    Oil price; time series of energy prices; tail risk; predictive content of energy futures.;
    All these keywords.

    JEL classification:

    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

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