One Great Pool or Many? Measuring Global Oil Market Integration Using a Dynamic Time Warping-Hierarchical Cluster Approach

Marc Gronwald and Luyao Zhu

No 12723, CESifo Working Paper Series from CESifo

Abstract: This paper measures global crude oil market integration using dynamic time warping combined with hierarchical cluster analysis. Using ten global crude oil prices (2000-2026), we find that markets cluster primarily by geography: West African, Middle Eastern, and U.S. markets each form distinct regional clusters: Brent occupies an intermediate position. A rolling window analysis reveals an increase in integration over time, but a remarkably stable regional structure. A subsample analysis shows that during the turbulent 2020-2024 period, integration increases but the clear geographical pattern weakens. Validation metrics such as silhouette width and cophenetic correlation confirm robust clustering across all periods.

Keywords: oil market integration; hierarchical clustering; dynamic time warping; global crude oil markets; one great pool (search for similar items in EconPapers)
JEL-codes: C32 C38 F15 Q43 (search for similar items in EconPapers)
Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_12723

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