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Do Seasonal Tropical Storm Forecasts Affect Crack Spread Prices?

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  • Jason Fink
  • Kristin Fink

Abstract

Individual storms in the Gulf of Mexico have been shown to affect crack spread futures prices. As hurricanes strike refiner‐dense areas, prices of refined petroleum products rise. We find that crack spread prices are even affected by seasonal hurricane forecasts. We find this despite the difficulties of long horizon forecasting, and that refiners are only exposed in a small portion of the Atlantic basin. These effects are economically important. For example, a one standard deviation increase in the June forecast of the net tropical cyclone activity in the upcoming season increases 3‐2‐1 crack spread prices by over 9%. © 2013 Wiley Periodicals, Inc. Jrl Fut Mark 34:420–433, 2014

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  • Jason Fink & Kristin Fink, 2014. "Do Seasonal Tropical Storm Forecasts Affect Crack Spread Prices?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(5), pages 420-433, May.
    • Handle: RePEc:wly:jfutmk:v:34:y:2014:i:5:p:420-433
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    Cited by:

    1. Oladosu, Gbadebo, 2022. "Bubbles in US gasoline prices: Assessing the role of hurricanes and anti–price gouging laws," Journal of Commodity Markets, Elsevier, vol. 27(C).
    2. Ederington, Louis H. & Fernando, Chitru S. & Hoelscher, Seth A. & Lee, Thomas K. & Linn, Scott C., 2019. "Characteristics of petroleum product prices: A survey," Journal of Commodity Markets, Elsevier, vol. 14(C), pages 1-15.
    3. Liu, Haiyan & Ferreira, Susana & Karali, Berna, 2015. "Hurricanes as News? A Comparison of the Impact of Hurricanes on Stock Returns of Energy Companies," 2015 Annual Meeting, January 31-February 3, 2015, Atlanta, Georgia 196845, Southern Agricultural Economics Association.

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