Cyclical behaviour and shock-persistence: crude oil prices
AbstractOil prices behave differently over different time-horizons. For the short run, we examine the pattern of movements in crude oil prices over business cycles and test whether price increases influence global output and/or are influenced by economic cycles. For the long run, we focus on whether "shocks" to crude oil prices are persistent or not. Our findings indicate that the price of crude oil exhibits substantial cyclical behaviour, as verified by several tests carried out in this paper. The VAR analysis indicates that the price of oil is a pro-cyclical variable. Moreover, the results show that, while, during the 1972-2003 period (when OPEC exerted more influence in the oil market), the oil market experienced substantial fluctuations in price, the price cycles were mean-reverting and not shock-persistent. This could indicate that OPEC market power can have stabilising effects. Copyright 2004 Organization of the Petroleum Exporting Countries.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Organization of the Petroleum Exporting Countries in its journal OPEC Review.
Volume (Year): 28 (2004)
Issue (Month): 2 (06)
Contact details of provider:
Web page: http://onlinelibrary.wiley.com/journal/10.1111/%28ISSN%291753-0237
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Jose Noguera & Rowena A. Pecchenino, 2005. "Can a Cartel Fuel the Engine of Economic Development? OPEC and the macroeconomics of oil," CERGE-EI Working Papers wp280, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
- Maslyuk, Svetlana & Smyth, Russell, 2008.
"Unit root properties of crude oil spot and futures prices,"
Elsevier, vol. 36(7), pages 2591-2600, July.
- Svetlana Maslyuk & Russell Smyth, 2007. "Unit Root Properties of Crude Oil Spot and Futures Prices," Monash Economics Working Papers 40-07, Monash University, Department of Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.