Unit root properties of crude oil spot and futures prices
Unit root properties of crude oil spot and futures prices
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DOI：
10.1016/j.enpol.2008.03.018
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发表时间：
2008-05
期刊：
影响因子：
9
通讯作者：
Svetlana Maslyuk;R. Smyth
中科院分区：
文献类型：
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作者：
Svetlana Maslyuk;R. Smyth
在这篇文章中，我们研究是否WTI和布伦特原油现货和期货价格（在1，3和6个月到期）包含一个和两个结构性突变的单位根，采用1991-2004年期间的每周数据。为了实现这一目标，我们采用拉格朗日乘子（LM）单位根检验与一个和两个内生结构突变提出的李和斯特拉齐奇[2003年。具有两个结构突变的最小拉格朗日乘子单位根检验。经济学和统计学评论，85，1082-1089; 2004年。有一个结构突变的最小LM单位根检验。工作文件第04-17号，阿巴拉契亚州立大学经济系]。我们发现，每一个石油价格序列可以被描述为一个随机游走过程，内生的结构性突变是显着的，有意义的影响世界石油市场的事件。
In this article, we examine whether WTI and Brent crude oil spot and futures prices (at 1, 3 and 6 months to maturity) contain a unit root with one and two structural breaks, employing weekly data over the period 1991–2004. To realise this objective we employ Lagrange multiplier (LM) unit root tests with one and two endogenous structural breaks proposed by Lee and Strazicich [2003. Minimum Lagrange multiplier unit root test with two structural breaks. Review of Economics and Statistics, 85, 1082–1089; 2004. Minimum LM unit root test with one structural break. Working Paper no. 04–17, Department of Economics, Appalachian State University]. We find that each of the oil price series can be characterised as a random walk process and that the endogenous structural breaks are significant and meaningful in terms of events that have impacted on world oil markets.