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
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
References: Add references at CitEc
Citations: Track citations by RSS feed
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Journal Article: Persistence and cycles in historical oil price data (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201375
Access Statistics for this paper
More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().