Examining Asymmetric Behavior in US Petroleum Futures and Spot Prices
AbstractThis paper uses the momentum-threshold autoregressive (M-TAR) model to examine the possible asymmetric relationship between petroleum futures and spot prices for three different markets: crude oil, heating oil, and gasoline in the United States. The results indicate that the futures and spot prices for each petroleum type are cointegrated when allowing for asymmetric adjustment for each of these energy markets. We further investigate the asymmetric behavior between the futures and spot prices by estimating the M-TAR error-correction model. The M-TAR model allows us to document the adjustments that these markets undergo in response to changes in the basis.
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Bibliographic InfoArticle provided by International Association for Energy Economics in its journal The Energy Journal.
Volume (Year): Volume 27 (2006)
Issue (Month): Number 3 ()
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- F0 - International Economics - - General
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- Mohammadi, Hassan, 2011. "Market integration and price transmission in the U.S. natural gas market: From the wellhead to end use markets," Energy Economics, Elsevier, vol. 33(2), pages 227-235, March.
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