Causality in crude oil prices
AbstractCrude oil markets witness growing disparity between the quality of crudes supplied and demanded in the market. The market share of low-quality crudes is increasing due to the depletion of old fields and increasing demand. This is unnerving the practitioners and affecting the relevance of the traditional benchmark crudes due to the lack of lower quality benchmarks (Montepeque, 2005). In this article, we apply Granger causality tests to study the price dependence of 32 crudes in order to establish which crudes drive other prices and which ones simply follow general market trends. Our results indicate that some of the old benchmarks are still relevant while others can be disregarded. Our results also interestingly show that the low-quality Mediterranean Russian Urals crude, introduced in the late 1990s, has emerged recently as a significant driver of global prices.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics.
Volume (Year): 43 (2011)
Issue (Month): 24 ()
Contact details of provider:
Web page: http://www.tandfonline.com/RAEC20
Other versions of this item:
- G19 - Financial Economics - - General Financial Markets - - - 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.:
- S. Gurcan Gulen, 1999. "Regionalization in the World Crude Oil Market: Further Evidence," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1), pages 125-139.
- S. Gurcan Gulen, 1997. "Regionalization in the World Crude Oil Market," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 109-126.
- Lin, Sharon Xiaowen & Tamvakis, Michael N., 2004. "Effects of NYMEX trading on IPE Brent Crude futures markets: a duration analysis," Energy Policy, Elsevier, vol. 32(1), pages 77-82, January.
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
- Candelon, Bertrand & Joëts, Marc & Tokpavi, Sessi, 2013. "Testing for Granger causality in distribution tails: An application to oil markets integration," Economic Modelling, Elsevier, vol. 31(C), pages 276-285.
- Meyler, Aidan, 2009. "The pass through of oil prices into euro area consumer liquid fuel prices in an environment of high and volatile oil prices," Energy Economics, Elsevier, vol. 31(6), pages 867-881, November.
- Bertrand Candelon & Marc Joëts & Sessi Tokpavi, 2012. "Testing for crude oil markets globalization during extreme price movements," EconomiX Working Papers 2012-28, University of Paris West - Nanterre la Défense, EconomiX.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.