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Causality in Crude Oil Prices
Aston university. (Aston business school)
Stockholm University, Faculty of Social Sciences, School of Business. (Finance)
Nottingham university business school.
2010 (English)In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 43, no 24, 3337-3347 p.Article in journal (Refereed) Published
Abstract [en]

Crude oil markets witness growing disparity between the quality of crudes supplied and demanded in the market. The market share of low quality crudes is increasing due to the depletion of old fields and increasing demand. This is unnerving the practitioners (Platt's, 2006) and affects the relevance of the traditional benchmark crudes due to the lack of lower quality benchmarks (Montepeque, 2005). In this paper we apply Granger causality tests to study the price dependence of 32 crudes in order to establish which crudes drive other prices and which ones simply follow general market trends. Our results indicate that some of the old benchmarks are still relevant while others can be disregarded. Our results also interestingly show that a low-quality Russian crude introduced in the late 1990s has emerged recently as a significant driver of global prices.

Place, publisher, year, edition, pages
2010. Vol. 43, no 24, 3337-3347 p.
Keyword [en]
Granger causality; crude oil; benchmark; West Texas Intermediate; Europe Brent; Dubai Fateh; Russian Urals; Iran Seri Kerir; price dynamics
National Category
Business Administration
Research subject
Business Administration
URN: urn:nbn:se:su:diva-43255DOI: 10.1080/00036841003636250OAI: diva2:355082
3Available from: 2010-10-05 Created: 2010-10-05 Last updated: 2011-12-22Bibliographically approved

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