The causal relationships between Brent and Urals oil price benchmarks
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F60162694%3AG42__%2F15%3A00531682" target="_blank" >RIV/60162694:G42__/15:00531682 - isvavai.cz</a>
Result on the web
<a href="http://vavtest.unob.cz/registr" target="_blank" >http://vavtest.unob.cz/registr</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
The causal relationships between Brent and Urals oil price benchmarks
Original language description
The article investigates the relationship between two major oil price indexes – the most prominent "western" index (Brent) and the most prominent Russian oil price index (Urals). The comparison of the most established benchmark with the less well known price index is performed to determine the nature of the price differential and causality between them, using the high frequency commodity market data. Using sample from September 2009 to December 2013 in weekly frequency, there is a significant non-zero price differential (around 1.6 USD per barrel) between the two series, but we attribute this difference primarily to the difference in the oil blend quality. We find that the Russian market can be considered integrated with world oil market. We also find, rather surprisingly, the Urals is weakly exogenous in the VECM model, while Brent responds to changes in equilibrium. Causality tests confirm that the causal relationship likely is from Urals to Brent, rather than vice versa.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
18 Annual International Conference Enterprise and Competitive Environment Conference Proceedings
ISBN
978-80-7509-342-4
ISSN
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e-ISSN
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Number of pages
9
Pages from-to
257-265
Publisher name
Mendel University in Brno
Place of publication
Brno
Event location
Brno
Event date
Jan 1, 2015
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000380464000029