Trends, Persistence, and Volatility in Energy Markets

Publication | October 2011

This paper conducts a study on the underlying price dynamics of energy prices and its impact on the macroeconomy of Asian countries. The paper studies underlying trends to help identify the time series path of nonrenewable energy resources and determine the persistence of oil price shocks. The study also examines the causal relation between oil prices and the macroeconomy allowing for nonlinear models that have been recently advocated in the literature. The study describes the relation between oil prices and agricultural commodities. From a policy perspective, these interrelationships of agricultural and oil prices warrant careful consideration in the context of the recent energy crisis, which may very well continue in the future.


  • Abstract
  • Introduction
  • Literature Review
  • Econometric Methodology
  • Data and Institutional Background
  • Empirical Analysis
  • Policy Conclusions
  • Appendix
  • References