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Oil prices: Breaks and trends

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  • Noguera, José
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    Abstract

    This paper contributes to the literature of the stationarity of financial time series and the literature on oil and macroeconomics in several ways. First, it uses Kejriwal and Perron (2010) sequential procedure to endogenously determine multiple structural changes in real oil prices without facing the circular testing problem between structural changes and stationary assumptions of previous tests. Second, it performs a diagnostic check to detect the significance and magnitude of the potential breaks. Third, it uses the above information to test for the existence of stochastic trends in real oil prices, and fourth, it speculates about possible explanations for the break dates found in order to encourage further work and discussions. The exercise uses monthly data from January 1861 to August 2011.

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    Bibliographic Info

    Article provided by Elsevier in its journal Energy Economics.

    Volume (Year): 37 (2013)
    Issue (Month): C ()
    Pages: 60-67

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    Handle: RePEc:eee:eneeco:v:37:y:2013:i:c:p:60-67

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    Web page: http://www.elsevier.com/locate/eneco

    Related research

    Keywords: Oil price; Structural changes; Trends; WTI;

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    Cited by:
    1. Wang, Yudong & Wu, Chongfeng, 2013. "Are crude oil spot and futures prices cointegrated? Not always!," Economic Modelling, Elsevier, vol. 33(C), pages 641-650.
    2. Chen, Shyh-Wei & Lin, Shih-Mo, 2014. "Non-linear dynamics in international resource markets: Evidence from regime switching approach," Research in International Business and Finance, Elsevier, vol. 30(C), pages 233-247.

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