The causal relationships between Brent and Urals oil price benchmarks

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

The causal relationships between Brent and Urals oil price benchmarks

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

The causal relationships between Brent and Urals oil price benchmarks

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

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Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2015

Kód důvěrnosti údajů

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

Název statě ve sborníku

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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Počet stran výsledku

9

Strana od-do

257-265

Název nakladatele

Mendel University in Brno

Místo vydání

Brno

Místo konání akce

Brno

Datum konání akce

1. 1. 2015

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000380464000029