Cointegration in the Oil Market Among Regional Blends

Neil A. Wilmot

Article Details

Cointegration in the Oil Market Among Regional Blends

Authors:

Neil A. Wilmot

Publisher:

İlhan ÖZTÜRK

Journal:

International Journal of Energy Economics and Policy 2013 Vol.3 Issue 4, pp.424-433

Document Type:

Article

Publication Date:

11/2013

Document Language:

Turkish

Document ID (Org No.):

2000816810

Frequency:

Bimonthly

eISSN:

2146-4553

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’.

Article Details

Cointegration in the Oil Market Among Regional Blends

Authors: Neil A. Wilmot

Publisher: İlhan ÖZTÜRK

Journal: International Journal of Energy Economics and Policy 2013 Vol.3 Issue 4, pp.424-433

Document Type: Article

Publication Date: 11/2013

Document Language: Turkish

Document ID (Org No.): 2000816810

Frequency: Bimonthly

eISSN: 2146-4553

Issues

Authors:

Neil A. Wilmot

Publisher:

İlhan ÖZTÜRK

Journal:

International Journal of Energy Economics and Policy 2013 Vol.3 Issue 4, pp.424-433

Document Type:

Article

Publication Date:

11/2013

Document Language:

Turkish

Document ID (Org No.):

2000816810

Frequency:

Bimonthly

eISSN:

2146-4553