Post-COVID dynamics of the refined–crude oil price spread in the us: Evidence from long memory and fractional cointegration models

This study investigates the widening spread between refined and crude oil prices in the United States during the post-COVID period. The objective of the paper is to analyze the dynamics of this spread, with particular emphasis on the persistence of shocks and the existence of long-run equilibrium re...

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Detalles Bibliográficos
Autores: Monge, Manuel, Poza, Carlos
Tipo de recurso: artículo
Fecha de publicación:2025
País:España
Institución:Universidad Europea (UEM)
Repositorio:ABACUS. Repositorio de Producción Científica
Idioma:inglés
OAI Identifier:oai:abacus.universidadeuropea.com:11268/16482
Acceso en línea:https://hdl.handle.net/11268/16482
Access Level:acceso abierto
Palabra clave:Estudio de mercado
Producto petrolífero
Balanza comercial
Goal 7: Ensure access to affordable, reliable, sustainable and modern energy
Goal 12: Ensure sustainable consumption and production patterns
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spelling Post-COVID dynamics of the refined–crude oil price spread in the us: Evidence from long memory and fractional cointegration modelsMonge, ManuelPoza, CarlosEstudio de mercadoProducto petrolíferoBalanza comercialGoal 7: Ensure access to affordable, reliable, sustainable and modern energyGoal 12: Ensure sustainable consumption and production patternsThis study investigates the widening spread between refined and crude oil prices in the United States during the post-COVID period. The objective of the paper is to analyze the dynamics of this spread, with particular emphasis on the persistence of shocks and the existence of long-run equilibrium relationships. The study is motivated by concerns about inflationary pressures stemming from energy price dynamics, particularly in the context of persistent supply bottlenecks and shifting demand patterns. We employ fractional integration and fractional cointegration methodologies—specifically ARFIMA and FCVAR models—to analyze the persistence of shocks and the long-run relationships among key variables. Monthly data from 2003 to 2023 are used, including WTI crude prices, gasoline prices, industrial natural gas prices, petroleum consumption, and refinery capacity utilization.20252025-11-1820252025-01-0120252025-01-01journal articlehttp://purl.org/coar/resource_type/c_6501VoRhttp://purl.org/coar/version/c_970fb48d4fbd8a85info:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/11268/16482reponame:ABACUS. Repositorio de Producción Científicainstname:Universidad Europea (UEM)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2Attribution-NonCommercial-NoDerivatives 4.0 Internationalhttp://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessoai:abacus.universidadeuropea.com:11268/164822026-06-11T12:41:27Z
dc.title.none.fl_str_mv Post-COVID dynamics of the refined–crude oil price spread in the us: Evidence from long memory and fractional cointegration models
title Post-COVID dynamics of the refined–crude oil price spread in the us: Evidence from long memory and fractional cointegration models
spellingShingle Post-COVID dynamics of the refined–crude oil price spread in the us: Evidence from long memory and fractional cointegration models
Monge, Manuel
Estudio de mercado
Producto petrolífero
Balanza comercial
Goal 7: Ensure access to affordable, reliable, sustainable and modern energy
Goal 12: Ensure sustainable consumption and production patterns
title_short Post-COVID dynamics of the refined–crude oil price spread in the us: Evidence from long memory and fractional cointegration models
title_full Post-COVID dynamics of the refined–crude oil price spread in the us: Evidence from long memory and fractional cointegration models
title_fullStr Post-COVID dynamics of the refined–crude oil price spread in the us: Evidence from long memory and fractional cointegration models
title_full_unstemmed Post-COVID dynamics of the refined–crude oil price spread in the us: Evidence from long memory and fractional cointegration models
title_sort Post-COVID dynamics of the refined–crude oil price spread in the us: Evidence from long memory and fractional cointegration models
dc.creator.none.fl_str_mv Monge, Manuel
Poza, Carlos
author Monge, Manuel
author_facet Monge, Manuel
Poza, Carlos
author_role author
author2 Poza, Carlos
author2_role author
dc.contributor.none.fl_str_mv
dc.subject.none.fl_str_mv Estudio de mercado
Producto petrolífero
Balanza comercial
Goal 7: Ensure access to affordable, reliable, sustainable and modern energy
Goal 12: Ensure sustainable consumption and production patterns
topic Estudio de mercado
Producto petrolífero
Balanza comercial
Goal 7: Ensure access to affordable, reliable, sustainable and modern energy
Goal 12: Ensure sustainable consumption and production patterns
description This study investigates the widening spread between refined and crude oil prices in the United States during the post-COVID period. The objective of the paper is to analyze the dynamics of this spread, with particular emphasis on the persistence of shocks and the existence of long-run equilibrium relationships. The study is motivated by concerns about inflationary pressures stemming from energy price dynamics, particularly in the context of persistent supply bottlenecks and shifting demand patterns. We employ fractional integration and fractional cointegration methodologies—specifically ARFIMA and FCVAR models—to analyze the persistence of shocks and the long-run relationships among key variables. Monthly data from 2003 to 2023 are used, including WTI crude prices, gasoline prices, industrial natural gas prices, petroleum consumption, and refinery capacity utilization.
publishDate 2025
dc.date.none.fl_str_mv 2025
2025-11-18
2025
2025-01-01
2025
2025-01-01
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
VoR
http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://hdl.handle.net/11268/16482
url https://hdl.handle.net/11268/16482
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
Attribution-NonCommercial-NoDerivatives 4.0 International
http://creativecommons.org/licenses/by-nc-nd/4.0/
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
Attribution-NonCommercial-NoDerivatives 4.0 International
http://creativecommons.org/licenses/by-nc-nd/4.0/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:ABACUS. Repositorio de Producción Científica
instname:Universidad Europea (UEM)
instname_str Universidad Europea (UEM)
reponame_str ABACUS. Repositorio de Producción Científica
collection ABACUS. Repositorio de Producción Científica
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15.812455

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