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Persistence and cycles in historical oil price data

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  • Gil-Alana, Luis A.
  • Gupta, Rangan

Abstract

This paper deals with the analysis of two observed features in historical oil price data; in particular, persistence and cyclicity. Using monthly data from September 1859 to October 2013, we observe that the series presents two peaks in the spectrum, one occurring at the long run or zero frequency and the other at a cyclical frequency. These features can be well described in terms of a long memory model that incorporates both peaks in the spectrum. It is found that the order of integration at the zero frequency is about 0.6, and the one at the cyclical frequency is substantially smaller (of about 0.3) with the length of the cycles being approximately of about 74 periods (months), which is consistent with the length suggested by the business cycle theory.

Suggested Citation

  • Gil-Alana, Luis A. & Gupta, Rangan, 2014. "Persistence and cycles in historical oil price data," Energy Economics, Elsevier, vol. 45(C), pages 511-516.
  • Handle: RePEc:eee:eneeco:v:45:y:2014:i:c:p:511-516
    DOI: 10.1016/j.eneco.2014.08.018
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    Cited by:

    1. Luis A. Gil-Alana & Christophe André & Rangan Gupta & Tsangyao Chang & Omid Ranjbar, 2016. "The Feldstein--Horioka puzzle in South Africa: A fractional cointegration approach," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 25(7), pages 978-991, October.
    2. Gil-Alana, Luis A. & Chang, Shinhye & Balcilar, Mehmet & Aye, Goodness C. & Gupta, Rangan, 2015. "Persistence of precious metal prices: A fractional integration approach with structural breaks," Resources Policy, Elsevier, vol. 44(C), pages 57-64.
    3. repec:kap:compec:v:53:y:2019:i:4:d:10.1007_s10614-018-9835-4 is not listed on IDEAS
    4. Gil-Alana, Luis A. & Gupta, Rangan & Olubusoye, Olusanya E. & Yaya, OlaOluwa S., 2016. "Time series analysis of persistence in crude oil price volatility across bull and bear regimes," Energy, Elsevier, vol. 109(C), pages 29-37.
    5. Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2016. "Modeling U.S. Historical Time-Series Prices and Inflation Using Various Linear and Nonlinear Long-Memory Approaches," Working Papers 201683, University of Pretoria, Department of Economics.

    More about this item

    Keywords

    Oil prices; Cycles; Persistence; Long memory;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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