Time Series Analysis of Transatlantic Market Interactions: Evidence from Crude Oil and Gasoline Prices
AbstractThis paper investigates the interactions of spot markets for crude oil and regular gasoline in a transatlantic context. A cointegrated vector autoregressive (VAR) system is estimated using weekly time series data for spot prices of representative crude oil and regular gasoline in Europe and the US. The cointegrated VAR analysis shows that the US crude oil plays the role of long-run price leadership, influencing the price determination of the other commodities in the VAR system. Cointegrating vectors are then normalized and restricted so that the underlying long-run market interactions may be interpreted in terms of causal chains. Finally, a parsimonious equilibrium correction system is estimated in order to reveal the short-run market interactions.
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Bibliographic InfoArticle provided by College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan in its journal International Journal of Business and Economics.
Volume (Year): 9 (2010)
Issue (Month): 2 (August)
market interaction; long-run price leadership; crude oil; regular gasoline; cointegrated vector autoregressive model;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Q49 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Other
- R19 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Other
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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