Brent Crude Oil Spot and Futures Prices: Structural Break
Insights

J 2019

Brent Crude Oil Spot and Futures Prices: Structural Break Insights

ČECHOVÁ ZÁVADSKÁ, Miroslava, Lucía MORALES a Joseph P COUGHLAN

Základní údaje

Originální název

Brent Crude Oil Spot and Futures Prices: Structural Break Insights

Autoři

ČECHOVÁ ZÁVADSKÁ, Miroslava (203 Česká republika, domácí), Lucía MORALES (203 Česká republika) a Joseph P COUGHLAN (203 Česká republika)

Vydání

Journal of Energy Markets, 2019, 1756-3607

Další údaje

Jazyk

angličtina

Typ výsledku

Článek v odborném periodiku

Obor

50202 Applied Economics, Econometrics

Stát vydavatele

Spojené státy

Utajení

není předmětem státního či obchodního tajemství

Odkazy

URL

Kód RIV

RIV/26867184:_____/19:N0000040

Organizační jednotka

Moravská vysoká škola Olomouc

DOI

http://dx.doi.org/10.21314/JEM.2019.188

UT WoS

000502258200003

Klíčová slova anglicky

crude oil; spot and futures prices; cointegration; causality; structural break; crisis

Změněno: 10. 5. 2021 09:51, Ing. Michaela Nováková

Anotace

V originále

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.

Citovat

ČECHOVÁ ZÁVADSKÁ, Miroslava, Lucía MORALES a Joseph P COUGHLAN. Brent Crude Oil Spot and Futures Prices: Structural Break Insights. Journal of Energy Markets. 2019, roč. 12, č. 4, s. 31-52. ISSN 1756-3607. Dostupné z: https://dx.doi.org/10.21314/JEM.2019.188.

@article{15430,
   author = {Čechová Závadská, Miroslava and Morales, Lucía and Coughlan, Joseph P},
   article_number = {4},
   doi = {http://dx.doi.org/10.21314/JEM.2019.188},
   keywords = {crude oil; spot and futures prices; cointegration; causality; structural break; crisis},
   language = {eng},
   issn = {1756-3607},
   journal = {Journal of Energy Markets},
   title = {Brent Crude Oil Spot and Futures Prices: Structural Break Insights},
   url = {https://www.risk.net/journal-of-energy-markets},
   volume = {12},
   year = {2019}
}

TY  - JOUR
ID  - 15430
AU  - Čechová Závadská, Miroslava - Morales, Lucía - Coughlan, Joseph P
PY  - 2019
TI  - Brent Crude Oil Spot and Futures Prices: Structural Break Insights
JF  - Journal of Energy Markets
VL  - 12
IS  - 4
SP  - 31-52
EP  - 31-52
SN  - 17563607
KW  - crude oil
KW  - spot and futures prices
KW  - cointegration
KW  - causality
KW  - structural break
KW  - crisis
UR  - https://www.risk.net/journal-of-energy-markets
N2  - 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.
ER  -

ČECHOVÁ ZÁVADSKÁ, Miroslava, Lucía MORALES a Joseph P COUGHLAN. Brent Crude Oil Spot and Futures Prices: Structural Break Insights. \textit{Journal of Energy Markets}. 2019, roč.~12, č.~4, s.~31-52. ISSN~1756-3607. Dostupné z: https://dx.doi.org/10.21314/JEM.2019.188.

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