Cointegration in the Oil Market Among Regional Blends

Cilt: 3 Sayı: 4 1 Aralık 2013
  • Neil A. Wilmot
PDF İndir
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

Ayrıntılar

Birincil Dil

İngilizce

Konular

-

Bölüm

-

Yazarlar

Neil A. Wilmot Bu kişi benim

Yayımlanma Tarihi

1 Aralık 2013

Gönderilme Tarihi

1 Aralık 2013

Kabul Tarihi

-

Yayımlandığı Sayı

Yıl 2013 Cilt: 3 Sayı: 4

Kaynak Göster

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 (01 Aralık 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, c. 3, sy 4, ss. 424–433, Ara. 2013, [çevrimiçi]. Erişim adresi: 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 (01 Aralık 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, c. 3, sy 4, Aralık 2013, ss. 424-33, https://izlik.org/JA99GK77SC.
Vancouver
1.Neil A. Wilmot. Cointegration in the Oil Market Among Regional Blends. IJEEP [Internet]. 01 Aralık 2013;3(4):424-33. Erişim adresi: https://izlik.org/JA99GK77SC