Is the Oil Price Still Persistent?

Abstract

This paper examines the behavior of crude oil prices during the two decades following the oil shock in 1973. It presents statistical evidence that oil market structure changed after January 1986, Whereas oil shocks had lasting effects on oil prices prior to that date, now they appear to have only temporary effects and therefore the oil price series is less "persistent" than before. Empirical researchers should pay attention to the structural break in the oil price series. (Q43, C22)