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Brent–Dubai oil spread: Basic drivers

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  • Yuksel Haliloglu, Ebru
  • Sahin, Serkan
  • Berument, M. Hakan

Abstract

This study aims to assess and quantify the effects of potential economic drivers on the Brent–Dubai price spread using the time-dependent Kalman filtering technique. To understand the pricing mechanism of crude oils, it is necessary to distinguish the driving forces of the world oil market. The Brent–Dubai price spread is selected as a global indicator representing trends in world oil trade and global economic activities. The estimates suggest that the global economic activities represented by the world trade index, world oil demand, world steel production, the number of world airline passengers and regional dynamics proxied by the growth rate of China over the US and the Euro Area have explanatory power on the Brent–Dubai spread.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:ecanpo:v:72:y:2021:i:c:p:492-505
    DOI: 10.1016/j.eap.2021.09.014
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    1. Cui, Jinxin & Maghyereh, Aktham, 2023. "Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective," Journal of Commodity Markets, Elsevier, vol. 30(C).

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    More about this item

    Keywords

    Brent–Dubai oil spread; Growth of China; Kalman filter; Oil demand; Trade index;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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