 Testing for Granger causality in distribution tails: An application to oil markets integrationBertrand Candelon, Marc Joëts and Sessi Tokpavi (sessi.tokpavi@univ-orleans.fr) Economic Modelling, 2013, vol. 31, issue C, 276-285 Abstract: This paper proposes an original procedure which allows for testing of Granger-causality for multiple risk levels across tail distributions, hence extending the procedure proposed by Hong et al. (2009). Asymptotic and finite sample properties of the test are considered. This new Granger-causality framework is applied for a set of regional oil markets series. It helps to tackle two main questions 1) Whether oil markets are more or less integrated during periods of extreme energetic prices movements and 2) Whether price-setter markets change during such periods. Our findings indicate that the integration level between crude oil markets tends to decrease during extreme periods and that price-setter markets also change. Such results have policy implication and stress the importance of an active energetic policy during episode of extreme movements. Keywords: Extreme risk spillovers; Granger-causality in risk; Distribution tails; Value-at-Risk; Crude oil markets integration (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:31:y:2013:i:c:p:276-285 DOI: 10.1016/j.econmod.2012.11.049 Access Statistics for this article Economic Modelling is currently edited by S. Hall and P. Pauly More articles in Economic Modelling from Elsevier |
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