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    题名: Dating Breaks for Global Crude Oil Prices and Their Volatility: A Possible Price Band for Global Crude Prices
    作者: 廖惠珠;Liao, Huei-chu;Suen, Yu-bo
    贡献者: 淡江大學經濟學系
    关键词: Crude oil price;WTI;Structural change;Volatility
    日期: 2006
    上传时间: 2009-11-30 18:36:41 (UTC+8)
    出版者: Hamilton: McMaster University * DeGroote School of Business
    摘要: 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.
    關聯: Energy Studies Review 14(2), pp.189-202
    DOI: 10.15173/esr.v14i2.497
    显示于类别:[經濟學系暨研究所] 期刊論文

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