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Oil Prices: Persistence and Breaks

Author

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  • 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.

Suggested Citation

  • Carlos Pestana Barros & Luis A. Gil-Alana, 2011. "Oil Prices: Persistence and Breaks," Faculty Working Papers 09/11, School of Economics and Business Administration, University of Navarra.
    • Handle: RePEc:una:unccee:wp0911
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    File URL: http://www.unav.edu/documents/10174/6546776/1307020605_WP_UNAV_09_11.pdf
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    References listed on IDEAS

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    Cited by:

    1. Yao, Fang, 2014. "Stabilising Taylor rules when the supply shock has a unit root," Journal of Macroeconomics, Elsevier, vol. 41(C), pages 16-20.

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