Brent Crude Oil Spot and Futures Prices: Structural Break Insights
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F26867184%3A_____%2F19%3AN0000040" target="_blank" >RIV/26867184:_____/19:N0000040 - isvavai.cz</a>
Result on the web
<a href="https://www.risk.net/journal-of-energy-markets" target="_blank" >https://www.risk.net/journal-of-energy-markets</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.21314/JEM.2019.188" target="_blank" >10.21314/JEM.2019.188</a>
Alternative languages
Result language
angličtina
Original language name
Brent Crude Oil Spot and Futures Prices: Structural Break Insights
Original language description
The relationship between oil spot and futures prices has long been a focus of attention, but there is a lack of understanding about how these prices interact in times of crisis. Using cointegration and causality analysis, Brent crude spot and futures prices are examined before, during and after two different types of crises: (1) a supply-led event (the 1990–91 Gulf War) and (2) a demand-led event (the global financial crisis). Structural break analysis was employed to identify the subsamples to be studied. The core findings show evidence of a long-run bidirectional relationship between spot and futures prices. This study provides evidence that different types of crises engender different strengths of causal relationships between Brent crude spot and futures prices.
Czech name
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Czech description
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Classification
Type
J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics
Result continuities
Project
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Continuities
N - Vyzkumna aktivita podporovana z neverejnych zdroju
Others
Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Journal of Energy Markets
ISSN
1756-3615
e-ISSN
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Volume of the periodical
12
Issue of the periodical within the volume
4
Country of publishing house
US - UNITED STATES
Number of pages
22
Pages from-to
31-52
UT code for WoS article
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EID of the result in the Scopus database
2-s2.0-85078358592