Are Crude Oil Markets Globalized or Regionalized?  Evidence from WTI and Brent

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题名:	Are Crude Oil Markets Globalized or Regionalized? Evidence from WTI and Brent
作者:	Liao, Huei-Chu;Lin, Shu-Chuan;Huang, Ho-Chuan
贡献者:	淡江大學經濟學系
关键词:	oil price spread;quantile unit root;structural breaks;globalized;regionalized;C22;F20;F41
日期:	2014-01-01
上传时间:	2014-03-20 00:28:58 (UTC+8)
出版者:	Abingdon: Routledge
摘要:	This study applies a novel quantile unit root with structural breaks approach to explore whether the international crude oil markets are better characterized as ‘globalized’ or ‘regionalized’. By using the spreads between WTI and Brent crude oil prices as a benchmark, we find that the spreads contain a unit root in the lower quantiles but display mean reversion behaviour in the upper quantiles. However, instead of focusing on some selected (local) quantiles, the quantile Kolmogorov–Smirnov tests over a range of quantiles suggest that the price differentials are universally mean-reverting and, thus, provide strong support to the ‘globalization’ view.
關聯:	Applied Economics Letters 21(4), pp.235-241
DOI:	10.1080/13504851.2013.851766
显示于类别:	[財務金融學系暨研究所] 期刊論文 [經濟學系暨研究所] 期刊論文

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