Persistence and Cycles in Historical Oil Prices Data

Luis Gil-Alana and Rangan Gupta

No 201375, Working Papers from University of Pretoria, Department of Economics

Abstract: This paper deals with the analysis of two observed features in historical oil prices 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 cycles theory.

Keywords: Oil prices; Cycles; Persistence; Long memory (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2013-11
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Journal Article: Persistence and cycles in historical oil price data (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201375

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