Testing for crude oil markets globalization during extreme price movements
Bertrand Candelon,
Marc Joëts () and
Sessi Tokpavi ()
Additional contact information
Marc Joëts: EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique
Sessi Tokpavi: EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique
Working Papers from HAL
Abstract:
This paper investigates the global crude oil market dependence during extreme price movements. To this aim we extend the univariate Granger causality test in extreme risk developed by Hong et al. (2009) in a multivariate context. Asymptotic as well as finite sample properties are delivered. Applying this test for 32 crude oil markets, it turns out that extreme price movements are governed by non-OPEC crude oil markets rather than OPEC ones. More precisely, WTI and Brent crude oils are price setters in both extreme downside and upside price movements. More surprisingly, Mediterranean Russian Urals and Europe Forcados (resp. Ecuador Oriente) rather than Dubai Fateh act as additional benchmarks in periods of extreme price falls (resp. rises). Moreover, the integration process between crude oil markets seems to decrease during extreme price movements making diversification strategies more feasible.
Keywords: Crude oil markets; Risk transmission; Globalization; Distribution tails; Granger-causality test (search for similar items in EconPapers)
Date: 2012
Note: View the original document on HAL open archive server: https://hal.science/hal-04141065
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)
Downloads: (external link)
https://hal.science/hal-04141065/document (application/pdf)
Related works:
Working Paper: Testing for crude oil markets globalization during extreme price movements (2012) 
Working Paper: Testing for crude oil markets globalization during extreme price movements (2012)
Working Paper: Testing for crude oil markets globalization during extreme price movements (2012)
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:hal:wpaper:hal-04141065
Access Statistics for this paper
More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().