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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 and Joseph P COUGHLAN. Brent Crude Oil Spot and Futures Prices: Structural Break Insights. \textit{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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