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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/24778


    Title: Dating Breaks for Global Crude Oil Prices and Their Volatility: A Possible Price Band for Global Crude Prices
    Authors: 廖惠珠;Liao, Huei-chu;Suen, Yu-bo
    Contributors: 淡江大學經濟學系
    Keywords: Crude oil price;WTI;Structural change;Volatility
    Date: 2006
    Issue Date: 2009-11-30 18:36:41 (UTC+8)
    Publisher: Hamilton: McMaster University * DeGroote School of Business
    Abstract: This paper applies the structural change testing method of Bai and Perron (1998, 2003) to the problem of locating and identifying significant changes in the global oil market. We use this method to investigate daily WTI spot prices from January 2, 1986 to December 30, 2004 as collected by the DOE. Our empirical results indicate that a significant structural change took place on November 12, 1999. The average WTI price was U$ 19.02 per barrel before the structural change and U$30 .90 per barrel after the change. This higher price may well reveal clues for revising the current price band as claimed by OPEC. Moreover, the issue of volatility is also examined by following the same method. We find two structural breaks for the price volatility, and price is rather stable in the middle period. This interesting result is valuable in evaluating the current argument regarding the more volatile world crud e oil prices.
    Relation: Energy Studies Review 14(2), pp.189-202
    DOI: 10.15173/esr.v14i2.497
    Appears in Collections:[經濟學系暨研究所] 期刊論文

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