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The oil stock fluctuations in the United States

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  • Hayat, Aziz
  • Narayan, Paresh Kumar

Abstract

The goal of this paper is to examine whether the volatility of the growth in the US oil stocks has changed overtime, and if it has then whether or not this change is real. We find that the growth in volatility of oil stocks has declined overtime. We conduct a Monte Carlo simulation exercise to investigate whether this decline is real or an artefact of the growth definition. Our findings support the fact that the decline in growth volatility of oil stocks is an artefact of the growth definition. This is because a data generating process having a unit root with drift has a tendency to grow and thereby pulls the variance of growth down with time.

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Bibliographic Info

Article provided by Elsevier in its journal Applied Energy.

Volume (Year): 87 (2010)
Issue (Month): 1 (January)
Pages: 178-184

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Handle: RePEc:eee:appene:v:87:y:2010:i:1:p:178-184

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Related research

Keywords: Crude oil volatility Growth Unit root;

References

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Citations

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Cited by:
  1. Russell Smyth, 2012. "Are fluctuations in energy variables permanent or transitory? A survey of the literature on the integration properties of energy consumption and production," Development Research Unit Working Paper Series 04-12, Monash University, Department of Economics.
  2. Sharma, Susan Sunila, 2011. "Determinants of carbon dioxide emissions: Empirical evidence from 69 countries," Applied Energy, Elsevier, vol. 88(1), pages 376-382, January.
  3. Narayan, Paresh Kumar & Liu, Ruipeng, 2011. "Are shocks to commodity prices persistent?," Applied Energy, Elsevier, vol. 88(1), pages 409-416, January.
  4. Paresh Kumar Narayan & Seema Narayan & Xinwei Zheng, 2010. "Gold and Oil Futures Markets: Are Markets Efficient?," Economics Series 2010_13, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  5. Hayat, Aziz & Narayan, Paresh Kumar, 2011. "Do demand and supply shocks explain USA's oil stock fluctuations?," Applied Energy, Elsevier, vol. 88(8), pages 2908-2915, August.
  6. Sharma, Susan Sunila, 2010. "The relationship between energy and economic growth: Empirical evidence from 66 countries," Applied Energy, Elsevier, vol. 87(11), pages 3565-3574, November.
  7. Ou, Xunmin & Xiaoyu, Yan & Zhang, Xiliang, 2011. "Life-cycle energy consumption and greenhouse gas emissions for electricity generation and supply in China," Applied Energy, Elsevier, vol. 88(1), pages 289-297, January.

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