Oil Prices: Persistence and Breaks
Keywords: 
Materias Investigacion::Economía y Empresa
Contemporary economics
Oil prices
Series
Policy measures
Fractional integration
Issue Date: 
2011
Citation: 
Pestana-Barros, C. (Carlos); Gil-Alana, L.A. (Luis A.). "Oil Prices: Persistence and Breaks". En . , 2011,
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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