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A Nonlinear Empirical Analysis of Oil Price Co-movements

Author

Listed:
  • Semei Coronado

    (Departamento de M todos Cuantitativos, Universidad de Guadalajara, Centro Universitario de Ciencias Econ mico Administrativas, Perif rico Norte 799, Modulo M 201, N cleo, Universitario los Belenes, Zapopan, Jalisco, 45100, M xico,)

  • Thomas M. Fullerton

    (Department of Economics & Finance, University of Texas at El Paso, 500 West University Avenue, El Paso, TX, USA,)

  • Omar Rojas

    (Universidad Panamericana. Escuela de Ciencias Econ micas y Empresariales. Prolongaci n Calzada Circunvalaci n Poniente 49, Zapopan, Jalisco, 45010, M xico.)

Abstract

Nonlinear co-movements are analyzed for the daily returns calculated for Brent and West Texas Intermediate (WTI) crude oil prices. The sample period includes data for the pre-2008 price increases and the post-2014 price declines. Empirical results obtained indicate that it is important to allow for nonlinear and asymmetric patterns in the data. After doing so, unidirectional causality from Brent to WTI is documented with price declines exerting more reliable effects than price gains. That is in contrast to what has been documented for other sample periods that do not allow for potential nonlinear and asymmetric linkages.

Suggested Citation

  • Semei Coronado & Thomas M. Fullerton & Omar Rojas, 2018. "A Nonlinear Empirical Analysis of Oil Price Co-movements," International Journal of Energy Economics and Policy, Econjournals, vol. 8(3), pages 290-294.
    • Handle: RePEc:eco:journ2:2018-03-34
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    Citations

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    Cited by:

    1. Palao, Fernando & Pardo, Ángel & Roig, Marta, 2020. "Is the leadership of the Brent-WTI threatened by China’s new crude oil futures market?," Journal of Asian Economics, Elsevier, vol. 70(C).
    2. Huang, Xiaohong & Huang, Shupei, 2020. "Identifying the comovement of price between China's and international crude oil futures: A time-frequency perspective," International Review of Financial Analysis, Elsevier, vol. 72(C).

    More about this item

    Keywords

    Nonlinear Tests; Co-movement; Crude Oil Prices; Granger Causality;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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