A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends
The standard cointegration and the persistence of the spread of the Brent-WTI price have been widely analyzed. However, no studies have been able to present evidence of both issues jointly so far. A novel focus is presented in this paper from the application of the fractionally cointegrated vector a...
| Autores: | , , , |
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2019 |
| País: | España |
| Institución: | Universidad de Huelva (UHU) |
| Repositorio: | Arias Montano. Repositorio Institucional de la Universidad de Huelva |
| Idioma: | inglés |
| OAI Identifier: | oai:ariasmontano.uhu.es:10272/24815 |
| Acceso en línea: | https://hdl.handle.net/10272/24815 |
| Access Level: | acceso abierto |
| Palabra clave: | Crude oil Brent WTI Fractional cointegration Persistence PT decomposition 5302.05 Series Cronológicas Económicas 5312.05 Energía |
| Sumario: | The standard cointegration and the persistence of the spread of the Brent-WTI price have been widely analyzed. However, no studies have been able to present evidence of both issues jointly so far. A novel focus is presented in this paper from the application of the fractionally cointegrated vector autoregressive (FCVAR) approach, which allows the rigidity of the standard cointegration to be solved. As result of the application of the FCVAR model, we identify several degrees of globalization by analyzing the order of integration of the error correction term. Indeed, by using Permanent-Transitory decomposition analysis, we present what drives the relationship between both oil crude prices’ information. The findings shown here reveal that the Brent-WTI market is strongly globalized. Nevertheless, the Brent–WTI price spread follows a long memory process, and the Brent drives the Brent-WTI price structure. These results sustain some corollaries on economic policies for economic agents, policy makers and business operators. |
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