U.S. DIESEL FUEL PRICE RESPONSES TO THE GLOBAL CRUDE OIL SUPPLY AND DEMAND

Bahram Adrangi, Arjun Chatrath (), Joseph Macri () and Kambiz Raffiee ()
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Bahram Adrangi: W.E. Nelson Professor of Financial Economics, University of Portland, 5000 N. Willamette Blvd., Portland 97203, Oregon
Arjun Chatrath: Schulte Professor of Finance, University of Portland, 5000 N. Willamette Blvd., Portland 97203, Oregon
Kambiz Raffiee: Foundation Professor of Economics, College of Business University of Nevada, Reno 89557, Nevada

Annals of Financial Economics (AFE), 2018, vol. 13, issue 04, 1-25

Abstract: The objective of this study is to examine the monthly movements of U.S. diesel price for the period 1974–2017. We argue that the diesel price may be responsive to crude oil market fundamentals. The model employed includes the global demand and supply for crude oil, in addition to the inventory of crude oil and the level of industrial production for the U.S. The Structural Vector Autoregressive formulation and the Vector Error Correction model suggest that global demand shocks to crude oil, including the inventory of crude oil in the U.S. are primarily responsible for diesel price movements in the U.S., accounting for up to 30–70% of its variation.

Keywords: SVAR; diesel prices in U.S; supply and demand shocks (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (2)

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DOI: 10.1142/S2010495218500185

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