Business Cycles and Hydrocarbon Gas Liquids Prices

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dc.contributor.advisorSerletis, Apostolos
dc.contributor.authorJahan, Sayeeda
dc.contributor.committeememberTanaka, Atsuko
dc.contributor.committeememberMuehlenbachs, Lucija
dc.date2018-11
dc.date.accessioned2018-07-05T14:32:45Z
dc.date.available2018-07-05T14:32:45Z
dc.date.issued2018-06-29
dc.description.abstractThis 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.en_US
dc.identifier.citationJahan, 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
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/32257
dc.identifier.urihttp://hdl.handle.net/1880/107035
dc.language.isoeng
dc.publisher.facultyArts
dc.publisher.facultyGraduate Studies
dc.publisher.institutionUniversity of Calgaryen
dc.publisher.placeCalgaryen
dc.rightsUniversity of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission.
dc.subjectBusiness cycles
dc.subjectHydrocarbon gas liquids prices, Stylized facts
dc.subjectHamilton filter
dc.subjectHodrick-Prescott (HP) filter, Granger causality tests
dc.subject.classificationEducation--Financeen_US
dc.subject.classificationEnergyen_US
dc.titleBusiness Cycles and Hydrocarbon Gas Liquids Prices
dc.typemaster thesis
thesis.degree.disciplineEconomics
thesis.degree.grantorUniversity of Calgary
thesis.degree.nameMaster of Arts (MA)
ucalgary.item.requestcopytrue

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