The Time Trend and Unit Root Properties of Crude Oil Spot and Futures Prices with Multiple Structural Breaks.

• Main Authors: Hsiao, Chinghuan, 蕭敬桓
• Other Authors: Chen, Peifen
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/58335410885673298704

碩士 === 國立暨南國際大學 === 國際企業學系 === 99 === Minimum Lagrange multiplier (LM) unit root tests have two kinds, one is endogenous structural break with one and the other is two endogenous structural breaks proposed by Lee and Strazicich (2003) and Lee and Strazicich (2004), respectively. The research period concerned Brent and West Texas intermediate crude oil spot and futures prices from January 1995 to December 2010. The investigation adopted both approaches to estimate the possible trends, potential break points, as well as the stationarity of the spot and futures crude oil prices. In addition, the study considered different horizon and frequency characteristics of the data to examine whether there resulted in different situations. Moreover, we further utilize the concept of structural breaks to forecast the crude oil price. Under different kinds of data horizons, the empirical result indicated the eight crude oil prices series cannot be rejected the unit root hull hypothesis, and implying that even taking the structural breaks into consideration which still could not explain the stationary of the series. Consistent with the Maslyuk and Smyth (2008), the crude oil prices move as random walk process. No matter in one or two breaks models, the findings all pose significant time trends. The possible reason is the time trend has already altered, and the international specific events can explain this kind of change. Finally, we further employ weekly data to test WTI crude oil prices in ex-ante 2007 period, and the numerical result reveals that the oil prices are trend stationary. In the forecasting aspects, the study applied autoregressive models with one lag perform a satisfactory job than Random Walk in terms of forecasting accuracy.