Persistence and cycles in historical oil price data
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Date
Authors
Gil-Alana, Luis A.
Gupta, Rangan
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
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.
Description
Keywords
Oil prices, Cycles, Persistence, Long memory
Sustainable Development Goals
Citation
Gil-Alana, LA & Gupta, R 2014, 'Persistence and cycles in historical oil price data', Energy Economics, vol. 45, pp. 511-516.