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Testing the International Crude Oil Market Integration with Structural Breaks

Author

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  • Kentaka Aruga

    (Ishikawa Prefectural University)

Abstract

As spread between the WTI and Brent crude oil price is widening after early 2011, it could be that the price relationship between these crude oil is changing. To see if such change affected the price linkages among the international crude oil markets, this study investigates if the world's major benchmark crude oil markets are integrated using the latest data and test the globalization hypothesis when effects from structural breaks are reflected in the test model. The study reveals that while the Brent and Dubai crude oil markets continue to have a long-run relationship, the WTI no longer have a long-run relationship with the international crude oil market.

Suggested Citation

  • Kentaka Aruga, 2015. "Testing the International Crude Oil Market Integration with Structural Breaks," Economics Bulletin, AccessEcon, vol. 35(1), pages 641-649.
    • Handle: RePEc:ebl:ecbull:eb-14-00657
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    References listed on IDEAS

    as
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    Cited by:

    1. Galay, Gregory, 2019. "Are crude oil markets cointegrated? Testing the co-movement of weekly crude oil spot prices," Journal of Commodity Markets, Elsevier, vol. 16(C).
    2. Kentaka Aruga, 2021. "Changes in Human Mobility under the COVID-19 Pandemic and the Tokyo Fuel Market," JRFM, MDPI, vol. 14(4), pages 1-12, April.
    3. Niyati Bhanja & Samia Nasreen & Arif Billah Dar & Aviral Kumar Tiwari, 2022. "Connectedness in International Crude Oil Markets," Computational Economics, Springer;Society for Computational Economics, vol. 59(1), pages 227-262, January.
    4. Caporin, Massimiliano & Fontini, Fulvio & Talebbeydokhti, Elham, 2019. "Testing persistence of WTI and Brent long-run relationship after the shale oil supply shock," Energy Economics, Elsevier, vol. 79(C), pages 21-31.
    5. Yuksel Haliloglu, Ebru & Sahin, Serkan & Berument, M. Hakan, 2021. "Brent–Dubai oil spread: Basic drivers," Economic Analysis and Policy, Elsevier, vol. 72(C), pages 492-505.
    6. Chaofeng Tang & Kentaka Aruga & Yi Hu, 2023. "The Dynamic Correlation and Volatility Spillover among Green Bonds, Clean Energy Stock, and Fossil Fuel Market," Sustainability, MDPI, vol. 15(8), pages 1-23, April.

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    More about this item

    Keywords

    crude oil; WTI; Brent; globalization hypothesis; structural breaks; cointegration;
    All these keywords.

    JEL classification:

    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
    • D4 - Microeconomics - - Market Structure, Pricing, and Design

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