TITLE:
Application of Structural Breakpoint Test to the Correlation Analysis between Crude Oil Price and U.S. Weekly Leading Index
AUTHORS:
Yi Xiong, Shaopeng Sun, Zicheng Wang, Ke Wang, Li Liu
KEYWORDS:
Crude Oil Price, U.S. Weekly Leading Index, Structural Breakpoint
JOURNAL NAME:
Open Journal of Business and Management,
Vol.4 No.2,
April
27,
2016
ABSTRACT: The paper examines the relationship between crude oil price and U.S. weekly leading index. The
relationship between these two variables was unstable in long-run, so we explored the structural
breakpoints from January 1995 to August 2015 by Bai-Perron breakpoint test. The results show
that the causal relationships between two variables in different periods are different. We distinguish
different periods from the breakpoints, and explain the main reasons for change of the casual
relationships. Through this theory, the market can have a better prediction for the crude oil
price base on weekly leading index.