Short-term and long-term relationships between prices of imported oil and fuel products in the U.S

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F16%3A43909460" target="_blank" >RIV/62156489:43110/16:43909460 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.11118/actaun201664041285" target="_blank" >http://dx.doi.org/10.11118/actaun201664041285</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.11118/actaun201664041285" target="_blank" >10.11118/actaun201664041285</a>

Result language

angličtina

Original language name

Short-term and long-term relationships between prices of imported oil and fuel products in the U.S

Original language description

In this study, we analyzed a system of five monthly time series integrated I(1): average price of crude oil imported to the U.S. from OPEC countries (Opec), imported oil price from other than OPEC countries (NonOpec) in USD per barrel, average price of regular gasoline in the U.S. (Regular), premium quality gasoline price (Premium) and kerosene price (Kerosene) in U.S. cents per gallon. Cointegration was established by EG test and the series were analyzed by VECM model with lag selected via BIC criterion. Cointegration rank was determined by the Johansen procedure. According to VECM coefficients, prices of oil from OPEC countries and beyond OPEC exert influence upon all commodity prices in the system, but in a contradictory manner. Responses to innovation shocks in Opec and NonOpec stabilized within 8 to 10 months upon a nonzero shift and further became permanent. Innovation shock in both types of gasoline and Kerosene had only short-term significant impact upon the system. Forecast error variance in all variables is explained mainly by variation in oil prices, especially Opec, which persists with increased horizon. For a short horizon h = 1, FEVDs in gasoline and kerosene prices are primarily made of variation in the respective fuel prices.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BB - Applied statistics, operational research

OECD FORD branch

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Project

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Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2016

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

ISSN

1211-8516

e-ISSN

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Volume of the periodical

64

Issue of the periodical within the volume

4

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

9

Pages from-to

1285-1293

UT code for WoS article

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EID of the result in the Scopus database

2-s2.0-84991011689