Threshold cointegration analysis of crude oil benchmarks

Shawkat M. Hammoudeh; Bradley T. Ewing; Mark A. Thompson

doi:10.5547/ISSN0195-6574-EJ-Vol29-No4-4

Threshold cointegration analysis of crude oil benchmarks

Shawkat M. Hammoudeh, Bradley T. Ewing, Mark A. Thompson

James M. Hull College of Business

Research output: Contribution to specialist publication › Article

76 Scopus citations

Abstract

The paper examines the dynamic relationship between pairs of four oil benchmark prices (i.e., West Texas Intermediate, Brent, Dubai, and Maya), which have different physical properties and locations. The results indicate that there is a long-run equilibrium relationship between different benchmarks, regardless of their properties and locations. More importantly, there is asymmetry in the adjustment process that is specifically modeled and implications are discussed.

Original language	English (US)
Pages	79-95
Number of pages	17
Volume	29
No	4
Specialist publication	Energy Journal
DOIs	https://doi.org/10.5547/ISSN0195-6574-EJ-Vol29-No4-4
State	Published - 2008

ASJC Scopus subject areas

Economics and Econometrics
General Energy

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10.5547/ISSN0195-6574-EJ-Vol29-No4-4

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title = "Threshold cointegration analysis of crude oil benchmarks",

abstract = "The paper examines the dynamic relationship between pairs of four oil benchmark prices (i.e., West Texas Intermediate, Brent, Dubai, and Maya), which have different physical properties and locations. The results indicate that there is a long-run equilibrium relationship between different benchmarks, regardless of their properties and locations. More importantly, there is asymmetry in the adjustment process that is specifically modeled and implications are discussed.",

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AB - The paper examines the dynamic relationship between pairs of four oil benchmark prices (i.e., West Texas Intermediate, Brent, Dubai, and Maya), which have different physical properties and locations. The results indicate that there is a long-run equilibrium relationship between different benchmarks, regardless of their properties and locations. More importantly, there is asymmetry in the adjustment process that is specifically modeled and implications are discussed.

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Threshold cointegration analysis of crude oil benchmarks

Abstract

ASJC Scopus subject areas

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