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Cointegration in the Oil Market Among Regional Blends

Year 2013, Volume: 3 Issue: 4, 424 - 433, 01.12.2013

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’.

Year 2013, Volume: 3 Issue: 4, 424 - 433, 01.12.2013

Abstract

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Details

Other ID JA22VV28RC
Journal Section Research Article
Authors

Neil A. Wilmot This is me

Publication Date December 1, 2013
Published in Issue Year 2013 Volume: 3 Issue: 4

Cite

APA Wilmot, N. A. (2013). Cointegration in the Oil Market Among Regional Blends. International Journal of Energy Economics and Policy, 3(4), 424-433.
AMA Wilmot NA. Cointegration in the Oil Market Among Regional Blends. IJEEP. December 2013;3(4):424-433.
Chicago Wilmot, Neil A. “Cointegration in the Oil Market Among Regional Blends”. International Journal of Energy Economics and Policy 3, no. 4 (December 2013): 424-33.
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 N. A. Wilmot, “Cointegration in the Oil Market Among Regional Blends”, IJEEP, vol. 3, no. 4, pp. 424–433, 2013.
ISNAD Wilmot, Neil A. “Cointegration in the Oil Market Among Regional Blends”. International Journal of Energy Economics and Policy 3/4 (December 2013), 424-433.
JAMA 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, 2013, pp. 424-33.
Vancouver Wilmot NA. Cointegration in the Oil Market Among Regional Blends. IJEEP. 2013;3(4):424-33.