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Oil Prices: Persistence and Breaks

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Author Info

  • Carlos Pestana Barros

    ()
    (Technical University of Lisbon)

  • Luis A. Gil-Alana

    ()
    (University of Navarra)

Abstract

The rise of oil prices is a main issue in contemporary economics. This study examines the monthly, weekly and daily structure in several oil prices series using a modeling approach based on fractional integration and long range dependence. The results indicate that oil prices series are highly persistent, with orders of integration equal to or higher than 1. Breaks in the series do not alter the main conclusions of this study. That means that shocks have a permanent nature and strong policy measures must be implemented to return the series to their original long term projections.

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File URL: http://www.unav.es/facultad/econom/files/workingpapersmodule/@random4d35501bb6886/1307020605_WP_UNAV_09_11.pdf
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Bibliographic Info

Paper provided by School of Economics and Business Administration, University of Navarra in its series Faculty Working Papers with number 09/11.

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Length: 28 pages
Date of creation: 02 Jun 2011
Date of revision:
Handle: RePEc:una:unccee:wp0911

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Web page: http://www.unav.es/facultad/econom

Related research

Keywords: Oil prices; fractional integration; persistence and breaks;

References

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  14. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
  15. Mishra, Vinod & Sharma, Susan & Smyth, Russell, 2009. "Are fluctuations in energy consumption per capita transitory? Evidence from a panel of Pacific Island countries," Energy Policy, Elsevier, vol. 37(6), pages 2318-2326, June.
  16. Karbassi, A.R. & Abduli, M.A. & Mahin Abdollahzadeh, E., 2007. "Sustainability of energy production and use in Iran," Energy Policy, Elsevier, vol. 35(10), pages 5171-5180, October.
  17. Boone, Jeff P., 2001. "Empirical evidence for the superiority of non-US oil and gas investments," Energy Economics, Elsevier, vol. 23(2), pages 211-226, March.
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