Oil prices, speculation, and fundamentals: Interpreting causal relations among spot and futures prices
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Kaufmann, Robert K. & Dees, Stephane & Mann, Micheal, 2009. "Horizontal and vertical transmissions in the US oil supply chain," Energy Policy, Elsevier, vol. 37(2), pages 644-650, February.
- Cook, Steven & Holly, Sean & Turner, Paul, 1999. "The power of tests for non-linearity: the case of Granger-Lee asymmetry," Economics Letters, Elsevier, vol. 62(2), pages 155-159, February.
- Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
- Dees, Stephane & Karadeloglou, Pavlos & Kaufmann, Robert K. & Sanchez, Marcelo, 2007.
"Modelling the world oil market: Assessment of a quarterly econometric model,"
Elsevier, vol. 35(1), pages 178-191, January.
- DEES Stéphane & KARADELOGLOU Pavlos & KAUFMANN Robert & SANCHEZ Marcelo, "undated". "Modelling the World Oil Market: Assessment of a Quarterly Econometric Model," EcoMod2003 330700040, EcoMod.
- Granger, C W J & Lee, T H, 1989. "Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(S), pages 145-159, Supplemen.
- Stock, James H & Watson, Mark W, 1993.
"A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems,"
Econometric Society, vol. 61(4), pages 783-820, July.
- James H. Stock & Mark W. Watson, 1991. "A simple estimator of cointegrating vectors in higher order integrated systems," Working Paper Series, Macroeconomic Issues 91-3, Federal Reserve Bank of Chicago.
- Dermot Gately, 1995. "Strategies for OPEC's Pricing and Output Decisions," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 1-38.
- Hammoudeh, Shawkat & Li, Huimin, 2004. "The impact of the Asian crisis on the behavior of US and international petroleum prices," Energy Economics, Elsevier, vol. 26(1), pages 135-160, January.
- Hansen, Bruce E, 1997.
"Approximate Asymptotic P Values for Structural-Change Tests,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 15(1), pages 60-67, January.
- Bruce E. Hansen, 1995. "Approximate Asymptotic P-Values for Structural Change Tests," Boston College Working Papers in Economics 297., Boston College Department of Economics.
- Kaufmann, Robert K. & Dees, Stephane & Gasteuil, Audrey & Mann, Michael, 2008. "Oil prices: The role of refinery utilization, futures markets and non-linearities," Energy Economics, Elsevier, vol. 30(5), pages 2609-2622, September.
- Newey, Whitney & West, Kenneth, 2014.
"A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix,"
Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
- Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-708, May.
- Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
- Dermot Gately, 2007. "What Oil Export Levels Should We Expect From OPEC?," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 151-174.
- Jan Bentzen, 2007. "Does OPEC influence crude oil prices? Testing for co-movements and causality between regional crude oil prices," Applied Economics, Taylor & Francis Journals, vol. 39(11), pages 1375-1385.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Juselius, Katarina, 2006. "The Cointegrated VAR Model: Methodology and Applications," OUP Catalogue, Oxford University Press, number 9780199285679.
- Shawkat M. Hammoudeh & Bradley T. Ewing & Mark A. Thompson, 2008. "Threshold Cointegration Analysis of Crude Oil Benchmarks," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4), pages 79-96.
- Robert K. Kaufmann, Stephane Dees, Pavlos Karadeloglou and Marcelo Sanchez, 2004. "Does OPEC Matter? An Econometric Analysis of Oil Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4), pages 67-90.
- Kaufmann, Robert K. & Bradford, Andrew & Belanger, Laura H. & Mclaughlin, John P. & Miki, Yosuke, 2008. "Determinants of OPEC production: Implications for OPEC behavior," Energy Economics, Elsevier, vol. 30(2), pages 333-351, March.
- 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.
- 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.
- Lance J. Bachmeier & James M. Griffin, 2006. "Testing for Market Integration: Crude Oil, Coal, and Natural Gas," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 55-72.
- M. A. Adelman, 1984. "International Oil Agreements," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 1-10.
- Hammoudeh, Shawkat & Li, Huimin & Jeon, Bang, 2003. "Causality and volatility spillovers among petroleum prices of WTI, gasoline and heating oil in different locations," The North American Journal of Economics and Finance, Elsevier, vol. 14(1), pages 89-114, March.
- 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.
More about this item
KeywordsOil prices Oil markets Causal relationships Spot prices Futures prices;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:eneeco:v:31:y:2009:i:4:p:550-558. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/eneco .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.