ČECHOVÁ ZÁVADSKÁ, Miroslava, Lucía MORALES and Joseph P COUGHLAN. Brent Crude Oil Spot and Futures Prices: Structural Break Insights. Journal of Energy Markets. 2019, vol. 12, No 4, p. 31-52. ISSN 1756-3607. Available from: https://dx.doi.org/10.21314/JEM.2019.188.
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Basic information
Original name Brent Crude Oil Spot and Futures Prices: Structural Break Insights
Authors ČECHOVÁ ZÁVADSKÁ, Miroslava (203 Czech Republic, belonging to the institution), Lucía MORALES (203 Czech Republic) and Joseph P COUGHLAN (203 Czech Republic).
Edition Journal of Energy Markets, 2019, 1756-3607.
Other information
Original language English
Type of outcome Article in a journal
Field of Study 50202 Applied Economics, Econometrics
Country of publisher United States of America
Confidentiality degree is not subject to a state or trade secret
WWW URL
RIV identification code RIV/26867184:_____/19:N0000040
Organization unit Moravian Business College Olomouc
Doi http://dx.doi.org/10.21314/JEM.2019.188
UT WoS 000502258200003
Keywords in English crude oil; spot and futures prices; cointegration; causality; structural break; crisis
Changed by Changed by: Ing. Michaela Nováková, učo 5293. Changed: 10/5/2021 09:51.
Abstract
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.
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