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Memorias de investigación
Communications at congresses:
The effects of structural breaks on the long run level of oil and oil products. Evidence from the last two oil price crashes, 2008-09 and 2014-15
Year:2016
Research Areas
  • Engineering,
  • Economy,
  • Company,
  • Economics and commercials exchanges,
  • Finance,
  • International economy
Information
Abstract
Admittedly, recent events at the end of 2014 have shown that oil market fundamentals have not always been clearly anticipated. In addition, other price crashes like the 2008 financial crisis, have demonstrated that other factors, rather than those related to supply and demand, may also play an important role in signalling future price changes. Within this setting, this paper examines long term properties of Brent crude oil, gasoil and low sulphur fuel-oil over the period 2002 - 2015, a sufficient length of time to allow for the completion of the analysis using consistent unit root testing methodology. Our main contribution is twofold. Firstly, to characterize the nature of the steady path to long-term growth of the time series, allowing for structural breaks in the trend and secondly to provide new insights into the anatomy of the last two oil price crashes in 2008-09 and 2014-15. From the analysis we conclude on non-stationarity of the three variables around a linear trend, this finding in line with empirical evidence revealing a high degree of persistence in oil prices. The fact that events like the financial crisis in 2008 or the oil crash in 2014 may result in permanent deviations from the steady growth path, suggests that breaks, although of a different nature, have a substantial impact in the long-run dynamics of these commodities. Of separate interest are the break dates themselves. The research found solid indications that the three commodities, i.e. Brent oil, gasoil and fuel-oil exhibit distinctive break patterns depending on the nature of the impact considered. The effects of structural breaks on the long run level of oil and oil products. Evidence from the last two oil price crashes, 2008-09 and 2014-15. Available from: https://www.researchgate.net/publication/311954677_The_effects_of_structural_breaks_on_the_long_run_level_of_oil_and_oil_products_Evidence_from_the_last_two_oil_price_crashes_2008-09_and_2014-15 [accessed May 16, 2017].
International
Si
Congress
1st AIEE Energy Symposium on Current and Future Challenges to Energy Security,
960
Place
Milan, Italia
Reviewers
Si
ISBN/ISSN
0000-0000
Start Date
30/11/2016
End Date
02/12/2016
From page
1
To page
10
Participants
  • Autor: Carlos Rodriguez Monroy (UPM)
  • Autor: Pablo Angel Cansado Bravo (UPM)
Research Group, Departaments and Institutes related
  • Creador: Grupo de Investigación: Ingeniería de la Calidad Alimentaria
  • Departamento: Ingeniería de Organización, Administración de Empresas y Estadística
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