 Canadian industry level production and energy pricesEnergy Economics, 2021, vol. 99, issue C Abstract: Energy price volatility has a negative effect on economic activity in the United States, Canada and other countries. In this paper, we use disaggregated production data to examine which Canadian industries are most strongly affected by energy price volatility. We also generalize a heteroskedastic vector autoregression with a multivariate t distribution to account for excess kurtosis in conditional energy returns. We find that Canadian industries related to mining and extraction, manufacturing and transportation are most strongly affected by energy volatility; and that accounting for the excess kurtosis significantly improves the fit of the empirical model. We include several tests of robustness, including measures of energy volatility that incorporate stochastic volatility and asymmetries in the variance process. Our results suggest that uncertainty about energy prices reflects both macroeconomic uncertainty and uncertainty about energy markets. Keywords: Oil volatility; Energy volatility; Heteroskedasticity; Excess kurtosis (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321001857 DOI: 10.1016/j.eneco.2021.105280 Access Statistics for this article Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant More articles in Energy Economics from Elsevier |
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