Long-run co-movements between oil prices and rig count in the presence of structural breaks

Nicoleta Iliescu ()
Additional contact information
Nicoleta Iliescu: Iona College

Economics Bulletin, 2018, vol. 38, issue 2, 1171-1179

Abstract: In this article, we investigate the existence of long-run common trends (co-movements) shared by the WTI oil prices and the rig count variable in the US. To test for cointegration, we employ the Engle-Granger two-step procedure, the Johansen cointegration test, and the Gregory-Hansen procedure (which takes into account the possibility of structural breaks in the data). Both the Engle-Granger procedure and Johansen tests cannot find cointegration. However, the Gregory-Hansen procedure rejects the hypothesis of no cointegration at 1% in the specification which allows for structural breaks in the constant term, slope coefficients, and the trend term. In addition to cointegration, we examine the existence of any type of Granger-causality running between the two variables of interest. The Granger test identifies a bidirectional causality running between the two variables.

Keywords: oil prices; rig count; structural breaks; cointegration; Granger-causality (search for similar items in EconPapers)
JEL-codes: C5 Q4 (search for similar items in EconPapers)
Date: 2018-06-21
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2018/Volume38/EB-18-V38-I2-P112.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-18-00297

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().