Persistence in International Energy Prices 1960-2023

markets and its implications for market participants and
policymakers. Using the ARFIMA model and log-periodogram
regression technique, we estimate the long memory parameter in
energy price indices. Our findings confirm the persistence in energy
prices, indicating that past price movements have a lasting impact on
future prices. For market participants, understanding the persistence
of energy prices is crucial for developing effective trading strategies
and risk management measures. The long-lasting effects of past price
movements suggest the need for preparedness in the face of extended
periods of price volatility. Policymakers can also benefit from this
knowledge by implementing measures to stabilize energy markets
and mitigate the impacts of price shocks. Furthermore, our study
highlights the importance of incorporating the persistence of shocks
in energy price forecasting models. By accounting for the longlasting effects of past price movements, these models can improve
the accuracy of price forecasts and aid in decision-making for market
participants. While our study provides valuable insights into the
persistence of energy prices, further research is needed to investigate
the root causes of persistence and its implications in a rapidly
changing global economic environment. Additionally, exploring the
individual factors that influence energy price indices can enhance our
understanding of their dynamics and improve prediction accuracy.
Overall, our findings contribute to the existing literature by
confirming the presence of persistence in energy prices and providing
valuable insights for market participants and policymakers. Further
research in this area can offer more pragmatic advice and enhance
decision-making in the energy markets.