A Note on the Oil Price Trend and GARCH Shocks

被引：0
|
作者：
Li, Jing [1 ]
Thompson, Henry [2 ]
机构：
[1] S Dakota State Univ, Dept Econ, Brookings, SD 57007 USA
[2] Auburn Univ, Auburn, AL 36849 USA
来源：
ENERGY JOURNAL | 2010年 / 31卷 / 03期
关键词：
UNIT-ROOT TESTS; RESOURCE PRICES; BREAKS;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper investigates the trend in the monthly real price of oil between 1990 and 2008 with a generalized autoregressive conditional heteroskedasticity (GARCH) model. Trend and volatility are estimated jointly with the maximum likelihood estimation. There is long persistence in the variance of oil price shocks, and a GARCH unit root (GUR) test can potentially yield a significant power gain relative to the augmented Dickey-Fuller (ADF) test. After allowing for nonlinearity, the evidence supports a deterministic trend in the price of oil. The deterministic trend implies that influence of a price shock is transitory and policy efforts to restore a predictable price after a shock would be unwarranted in the long run.
引用
收藏
页码：159 / 165
页数：7
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