Another look on the relationships between oil prices and energy prices

Amine Lahiani (), Anthony Miloudi (), Ramzi Benkraiem and Muhammad Shahbaz
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Amine Lahiani: Econométrie - ESC Rennes School of Business - ESC [Rennes] - ESC Rennes School of Business - LEO - Laboratoire d'Économie d'Orleans [UMR7322] - UO - Université d'Orléans - UT - Université de Tours - CNRS - Centre National de la Recherche Scientifique

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Abstract: This paper employs the Quantile Autoregressive Distributed Lags (QARDL) model developed recently by Cho et al. (2015) to investigate the pass-through of oil prices to a set of energy prices. This approach allows analyzing simultaneously short-term connections and long-run cointegrating relationships across a range of quantiles. It also provides insights on the short-run predictive power of oil prices in predicting energy prices while accounting for the cointegration between oil prices and each of the considered energy prices in low, medium and high quantiles. Two key findings emerge from this paper. First, all considered energy prices are shown to be cointegrated with oil price across quantiles meaning that a stationaryequilibriumrelationship exists between single energy price and oil price. Second, we find evidence that oil price is a significant predictor of individual petroleum products prices and natural gas in the short run. This paper has important policy implications for forecasters, energy policy-makers and portfolio managers.

Keywords: Energy prices transmission; Quantile regression; Cointegration (search for similar items in EconPapers)
Date: 2017-01-02
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Citations: View citations in EconPapers (23)

Published in Energy Policy, 2017, 102 (C), pp.318-331. ⟨10.1016/j.enpol.2016.12.031⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01429682

DOI: 10.1016/j.enpol.2016.12.031

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