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Threshold Cointegration Analysis of Crude Oil Benchmarks

Author

Listed:
  • Shawkat M. Hammoudeh
  • Bradley T. Ewing
  • Mark A. Thompson

Abstract

The paper examines the dynamic relationship between pairs of four oil benchmark prices (i.e., West Texas Intermediate, Brent, Dubai, and Maya), which have different physical properties and locations. The results indicate that there is a long-run equilibrium relationship between different benchmarks, regardless of their properties and locations. More importantly, there is asymmetry in the adjustment process that is specifically modeled and implications are discussed.

Suggested Citation

  • Shawkat M. Hammoudeh & Bradley T. Ewing & Mark A. Thompson, 2008. "Threshold Cointegration Analysis of Crude Oil Benchmarks," The Energy Journal, , vol. 29(4), pages 79-96, October.
    • Handle: RePEc:sae:enejou:v:29:y:2008:i:4:p:79-96
    DOI: 10.5547/ISSN0195-6574-EJ-Vol29-No4-4
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    References listed on IDEAS

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    1. 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.
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    5. Kausik Chaudhuri, 2001. "Long-run prices of primary commodities and oil prices," Applied Economics, Taylor & Francis Journals, vol. 33(4), pages 531-538.
    6. Sercu, Piet & Uppal, Raman & Van Hulle, Cynthia, 1995. "The Exchange Rate in the Presence of Transaction Costs: Implications for Tests of Purchasing Power Parity," Journal of Finance, American Finance Association, vol. 50(4), pages 1309-1319, September.
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    Cited by:

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    2. Dan Zhang & Arash Farnoosh & Frédéric Lantz, 2022. "Does Something Change in the Oil Market with the COVID-19 Crisis ?," Post-Print hal-03601767, HAL.

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