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@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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