The effect of the COVID-19 crisis on crude oil prices is investigated by using long memory techniques. The oil price series is highly persistent with an order of integration of 0.84, displaying mean reversion. When we examine data before the onset of COVID-19, the first order integration hypothesis cannot be rejected. The results are consistent with evidence of market efficiency prior to the crisis, with the oil market becoming inefficient when incorporating the data covering the crisis. The evidence that oil price series is mean reverting implies that the shock will be transitory albeit with very long-lasting effects.
Understanding the behavior of the lithium supply and the estimated consumption and flows is important for social and economic development. We focus on estimating persistence and for this purpose, we use techniques based on fractional integration. The empirical results provide evidence of mean reversion for the data corresponding to the global lithium production from 1925 to 2014 but not for U.S. lithium-related series such
The main aim of this paper is to build a Real Time Leading Economic Indicator (RT-LEI) that improve Composite Leading Indicators (CLI)'s performance to anticipate GDP trends and turning points for the Spanish economy. The indicator has been constructed by means of a Factor Analysis and is composed of 21 variables concerning motor vehicle activity, financial activity, real estate activity, economic sentiment and industrial sector. The data sources used are Google Trends and Thomson Reuters Eikon-Datastream. This work contributes to the literature, studying the dynamics of GDP, CLI and RT-LEI using Fractional Cointegration VAR (FCVAR model) and Continuous Wavelet Transform (CWT) for its resolution. The results show that the model does not present mean reversion and it is expected the RT-LEI reveals a bear trend in the next two years, alike IMF and Consensus FUNCAS' forecasts. The reasons are mostly associated with escalating global protectionism, uncertainty related to Catalonia and a faster monetary policy normalization.
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