A Nonlinear Empirical Analysis of Oil Price Co-movements

Semei Coronado, Thomas Fullerton () and Omar Rojas ()
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Semei Coronado: Departamento de M todos Cuantitativos, Universidad de Guadalajara, Centro Universitario de Ciencias Econ mico Administrativas, Perif rico Norte 799, Modulo M 201, N cleo, Universitario los Belenes, Zapopan, Jalisco, 45100, M xico,

International Journal of Energy Economics and Policy, 2018, vol. 8, issue 3, 290-294

Abstract: Nonlinear co-movements are analyzed for the daily returns calculated for Brent and West Texas Intermediate (WTI) crude oil prices. The sample period includes data for the pre-2008 price increases and the post-2014 price declines. Empirical results obtained indicate that it is important to allow for nonlinear and asymmetric patterns in the data. After doing so, unidirectional causality from Brent to WTI is documented with price declines exerting more reliable effects than price gains. That is in contrast to what has been documented for other sample periods that do not allow for potential nonlinear and asymmetric linkages.

Keywords: Nonlinear Tests; Co-movement; Crude Oil Prices; Granger Causality (search for similar items in EconPapers)
JEL-codes: C32 G15 Q43 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ2:2018-03-34

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