Threshold Cointegration Analysis of Crude Oil Benchmarks

Shawkat Hammoudeh, Bradley Ewing and Mark A. Thompson

The Energy Journal, 2008, vol. Volume 29, issue Number 4, 79-96

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.

JEL-codes: F0 (search for similar items in EconPapers)
Date: 2008
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