Dating Breaks for Global Crude Oil Price and Their Volatility: A Possible Price Band for Crude Oil

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Title:	Dating Breaks for Global Crude Oil Price and Their Volatility: A Possible Price Band for Crude Oil
Authors:	Liao, H.;Y. Shun
Contributors:	淡江大學經濟學系
Date:	2006-10
Issue Date:	2011-10-22 17:33:24 (UTC+8)
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, forthcoming 14(2), p. 189-206
DOI:	10.15173/esr.v14i2.497
Appears in Collections:	[Graduate Institute & Department of Economics] Journal Article

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