Cointegration in the Oil Market Among Regional Blends

Volume: 3 Number: 4 December 1, 2013
  • Neil A. Wilmot
EN

Cointegration in the Oil Market Among Regional Blends

Abstract

The integration of crude oil spot prices, from different geographic regions is examined using the residual-based cointegration test of Gregory and Hansen (1996), which allows for endogenously determined structural breaks. While traditionally, the focus has been on three global benchmark crudes (WTI, Brent and Dubai Fateh), herein the relationship among secondary, regional blends (Edmonton Par, Western Canadian Select, Bonny Light and Mexican Maya) is examined with implications for the ‘global pool’ hypothesis. Monthly data is examined, with particular emphasis placed on the Canadian perspective. The results indicate that the regional crudes, of similar and differing grades, are cointegrated with a structural break. Events with a direct impact on the crude market are linked to the structural breaks. Indirect impacts are attributed to events which appear to have affected crude oil prices via a decrease in demand, such as the economic uncertainty leading to and during the ‘Great Recession’.

Keywords

Details

Primary Language

English

Subjects

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Journal Section

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Authors

Neil A. Wilmot This is me

Publication Date

December 1, 2013

Submission Date

December 1, 2013

Acceptance Date

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Published in Issue

Year 2013 Volume: 3 Number: 4

APA
Wilmot, N. A. (2013). Cointegration in the Oil Market Among Regional Blends. International Journal of Energy Economics and Policy, 3(4), 424-433. https://izlik.org/JA99GK77SC
AMA
1.Wilmot NA. Cointegration in the Oil Market Among Regional Blends. IJEEP. 2013;3(4):424-433. https://izlik.org/JA99GK77SC
Chicago
Wilmot, Neil A. 2013. “Cointegration in the Oil Market Among Regional Blends”. International Journal of Energy Economics and Policy 3 (4): 424-33. https://izlik.org/JA99GK77SC.
EndNote
Wilmot NA (December 1, 2013) Cointegration in the Oil Market Among Regional Blends. International Journal of Energy Economics and Policy 3 4 424–433.
IEEE
[1]N. A. Wilmot, “Cointegration in the Oil Market Among Regional Blends”, IJEEP, vol. 3, no. 4, pp. 424–433, Dec. 2013, [Online]. Available: https://izlik.org/JA99GK77SC
ISNAD
Wilmot, Neil A. “Cointegration in the Oil Market Among Regional Blends”. International Journal of Energy Economics and Policy 3/4 (December 1, 2013): 424-433. https://izlik.org/JA99GK77SC.
JAMA
1.Wilmot NA. Cointegration in the Oil Market Among Regional Blends. IJEEP. 2013;3:424–433.
MLA
Wilmot, Neil A. “Cointegration in the Oil Market Among Regional Blends”. International Journal of Energy Economics and Policy, vol. 3, no. 4, Dec. 2013, pp. 424-33, https://izlik.org/JA99GK77SC.
Vancouver
1.Neil A. Wilmot. Cointegration in the Oil Market Among Regional Blends. IJEEP [Internet]. 2013 Dec. 1;3(4):424-33. Available from: https://izlik.org/JA99GK77SC