J
2019
Brent Crude Oil Spot and Futures Prices: Structural Break Insights
ČECHOVÁ ZÁVADSKÁ, Miroslava, Lucía MORALES and Joseph P COUGHLAN
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
Type of outcome
Článek v odborném periodiku
Field of Study
50202 Applied Economics, Econometrics
Country of publisher
United States of America
Confidentiality degree
není předmětem státního či obchodního tajemství
RIV identification code
RIV/26867184:_____/19:N0000040
Organization unit
Moravian Business College Olomouc
Keywords in English
crude oil; spot and futures prices; cointegration; causality; structural break; crisis
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.
Displayed: 31/10/2024 20:06