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...

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Detalles Bibliográficos
Autores: Bravo Caro, José Manuel, Golpe Moya, Antonio Aníbal, Iglesias Garrido, Jesús, Vides González, José Carlos
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
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spelling A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trendsBravo Caro, José ManuelGolpe Moya, Antonio AníbalIglesias Garrido, JesúsVides González, José CarlosCrude oilBrentWTIFractional cointegrationPersistencePT decomposition5302.05 Series Cronológicas Económicas5312.05 EnergíaThe 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.Elsevier20192019-11-0120192019-11-01journal articlehttp://purl.org/coar/resource_type/c_6501AMhttp://purl.org/coar/version/c_ab4af688f83e57aainfo:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/10272/24815reponame:Arias Montano. Repositorio Institucional de la Universidad de Huelvainstname:Universidad de Huelva (UHU)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2Atribución-NoComercial-SinDerivadas 3.0 Españahttp://creativecommons.org/licenses/by-nc-nd/3.0/es/info:eu-repo/semantics/openAccessoai:ariasmontano.uhu.es:10272/248152026-06-02T14:58:11Z
dc.title.none.fl_str_mv A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends
title A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends
spellingShingle A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends
Bravo Caro, José Manuel
Crude oil
Brent
WTI
Fractional cointegration
Persistence
PT decomposition
5302.05 Series Cronológicas Económicas
5312.05 Energía
title_short A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends
title_full A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends
title_fullStr A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends
title_full_unstemmed A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends
title_sort A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends
dc.creator.none.fl_str_mv Bravo Caro, José Manuel
Golpe Moya, Antonio Aníbal
Iglesias Garrido, Jesús
Vides González, José Carlos
author Bravo Caro, José Manuel
author_facet Bravo Caro, José Manuel
Golpe Moya, Antonio Aníbal
Iglesias Garrido, Jesús
Vides González, José Carlos
author_role author
author2 Golpe Moya, Antonio Aníbal
Iglesias Garrido, Jesús
Vides González, José Carlos
author2_role author
author
author
dc.contributor.none.fl_str_mv
dc.subject.none.fl_str_mv Crude oil
Brent
WTI
Fractional cointegration
Persistence
PT decomposition
5302.05 Series Cronológicas Económicas
5312.05 Energía
topic Crude oil
Brent
WTI
Fractional cointegration
Persistence
PT decomposition
5302.05 Series Cronológicas Económicas
5312.05 Energía
description 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.
publishDate 2019
dc.date.none.fl_str_mv 2019
2019-11-01
2019
2019-11-01
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
AM
http://purl.org/coar/version/c_ab4af688f83e57aa
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://hdl.handle.net/10272/24815
url https://hdl.handle.net/10272/24815
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
Atribución-NoComercial-SinDerivadas 3.0 España
http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
Atribución-NoComercial-SinDerivadas 3.0 España
http://creativecommons.org/licenses/by-nc-nd/3.0/es/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:Arias Montano. Repositorio Institucional de la Universidad de Huelva
instname:Universidad de Huelva (UHU)
instname_str Universidad de Huelva (UHU)
reponame_str Arias Montano. Repositorio Institucional de la Universidad de Huelva
collection Arias Montano. Repositorio Institucional de la Universidad de Huelva
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15.81155

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