Brent Crude Oil Spot and Futures Prices: Structural Break Insights

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Brent Crude Oil Spot and Futures Prices: Structural Break Insights

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Brent Crude Oil Spot and Futures Prices: Structural Break Insights

Popis výsledku anglicky

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.

Druh

J_SC - Článek v periodiku v databázi SCOPUS

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

—

Návaznosti

N - Vyzkumna aktivita podporovana z neverejnych zdroju

Rok uplatnění

2019

Kód důvěrnosti údajů

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

Název periodika

Journal of Energy Markets

ISSN

1756-3615

e-ISSN

—

Svazek periodika

12

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

22

Strana od-do

31-52

Kód UT WoS článku

—

EID výsledku v databázi Scopus

2-s2.0-85078358592