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

Language

English

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

References:

RIV identification code

RIV/26867184:_____/19:N0000040

Organization unit

Moravian Business College Olomouc

DOI

UT WoS

000502258200003

Keywords in English

crude oil; spot and futures prices; cointegration; causality; structural break; crisis
Změněno: 10/5/2021 09:51, Ing. Michaela Nováková

Abstract

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.