Oil Prices: Breaks and Trends

Global LNG Pricing Terms and Revisions: An Empirical Analysis

“…9 Perron (1989) showed that if structural breaks and trends are allowed, one can reject the null hypothesis of a unit root. A robust debate about the stationarity of oil prices has ensued, and both Noguera (2013) and Ghoshray (2014) confirm that one can reject the unit root hypothesis if structural breaks, time trends and nonstationary volatility are allowed in oil prices. In fact, a Zivot and Andrews (1992) test allowing for a single break in intercept and trend rejects a unit root at the 1 or 5% level for 10 of 16 series, plus Brent and JCC.…”

OPEC and Non-OPEC Oil Production and the Global Economy

“…In contrast, Lee et al (2006) allow for two endogenously determined structural breaks and a quadratic trend and Lee and Lee (2009) allow for multiple breaks find evidence of supportive of stationary real resource price series. Noguera (2013) and Mishra and Smyth (2014) provide extensive reviews of the literature on investigations of the time series properties of energy prices.…”

“…For example, using daily data Arouri et al (2012) find one structural break in 1997 and multiple breaks in 2008 in the gasoline market using data from January 2 1986 to October 20, 2009. Using monthly data from January 1961 to August 2011, Noguera (2013) found several structural breaks: when the data is used in levels a structural break is found for January 1978 and for both levels and trends he found structural breaks for July 1979, February 1986, February 1991, July 1998and November 2008. The important issues of unit root, co-integration and structural breaks in the global oil price data are considered in the next section.…”

Are Dragons and Tigers Catching Up?

“…Some authors claim that, after the long period of rapid growth, their growth rates of physical capital and productivity slowed down in the aftermath of the Asian crisis, leading to lower rates of per capita income growth (Riedel 2011;Anandet al 2014). Taking that into account, some debates have arisen on whether the catching up of the Dragons and Tigers has come to an end Shin 2012 and2013;Rodrik 2011). Some authors even talk about the Asian tragedy (Agénor and Canuto 2012;Aiyar et al 2013;Ohno 2009).…”

“…To this end, it uses the Kejriwal and Perron (2010) (KP) algorithm to endogenously detect the number and time period of structural breaks in the level and trend for each of the countries in the sample. The KP algorithm has the advantage over previously developed algorithms that first, it can detect multiple structural breaks, and second, it does it without previous knowledge of the integration order of the series (Noguera 2013). To measure the catching-up process, we use the per capita income ratio between each Asian country and the United States, which is our proxy for the wealthiest economy.…”