期刊論文

學年 95
學期 1
出版(發表)日期 2006-12-01
作品名稱 Dating Breaks for Global Crude Oil Price and Their Volatility: A Possible Price Band for Crude Oil
作品名稱(其他語言)
著者 Liao, H.; Y. Shun
單位 淡江大學經濟學系
出版者
著錄名稱、卷期、頁數 Energy Studies Review, forthcoming 14(2), p. 189-206
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.
關鍵字
語言 en
ISSN 0843-4379
期刊性質 國外
收錄於
產學合作
通訊作者
審稿制度
國別 USA
公開徵稿
出版型式 ,電子版
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