Munich Personal RePEc Archive

Business cycles and the behavior of energy prices

Serletis, Apostolos and Hulleman, Vaughn (1994): Business cycles and the behavior of energy prices. Published in: The Energy Journal , Vol. 15, No. 2 (1994): pp. 125-134.


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This paper tests the theory of storage--the hypothesis that the marginal convenience yield on inventory falls at a decreasing rate as inventory increases in energy markets (crude oil, heating oil, and unleaded gas markets). We use the Fama and French (1988) indirect test, based on the relative variation in spot and futures prices. The results suggest that the theory holds for the energy markets.

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