How do supply or demand shocks affect the US oil market?

José Carlos Vides, Julia Feria, Antonio Golpe and Juan Manuel Martín-Álvarez
Additional contact information
José Carlos Vides: Complutense University of Madrid
Julia Feria: University of Huelva
Juan Manuel Martín-Álvarez: International University of La Rioja

Financial Innovation, 2024, vol. 10, issue 1, 1-27

Abstract: Abstract The study of the relationship between crude oil and its refined products prices may be perceived as an important tool for testing how are the dynamics and the type of integration of the petro-derivatives market in the United States. In this sense, we have applied a set of causality tests to study the possible presence of asymmetries in the relationship between WTI crude oil and each refined product price and to explore the type of market integration. Furthermore, the application of these causality tests lets us explore the validation of different hypotheses in the literature, such as the Rocket and Feathers hypothesis and the Verleger hypothesis. Our findings reveal that Reformulated Gasoline Blendstock for Oxygen Blending (RBOB), heating oil, diesel and kerosene are supply-driven integrated and conventional gasoline and kerosene are demand-driven integrated when linear effects are assessed. This behaviour changes deeply when the existence of asymmetries is tested, noticing that the Rocket and Feathers hypothesis is not fulfilled when a negative shock appears. Conversely, the Verleger hypothesis is supported when a negative shock appears for conventional gasoline and kerosene. These results provide important policy implications for investors, energy policymakers and refiners.

Keywords: Asymmetries; Causality; Crude oil; Refined products (search for similar items in EconPapers)
JEL-codes: C22 Q31 Q41 (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1186/s40854-023-00561-8 Abstract (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00561-8

Ordering information: This journal article can be ordered from
http://www.springer. ... nomics/journal/40589

DOI: 10.1186/s40854-023-00561-8

Access Statistics for this article

Financial Innovation is currently edited by J. Leon Zhao and Zongyi

More articles in Financial Innovation from Springer, Southwestern University of Finance and Economics
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().