IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v24y2017i14p982-986.html
   My bibliography  Save this article

Causality patterns for Brent, WTI, and Argus oil prices

Author

Listed:
  • Semei Coronado
  • Thomas M. Fullerton
  • Omar Rojas

Abstract

Causality patterns are analysed for daily Brent, West Texas Intermediate (WTI), and Argus Sour Crude Index (Argus) oil prices, Argus is the reference price for exports from Saudi Arabia, Kuwait and Iraq. Nonparametric Granger causality testing uncovers bi-directional causal links between Brent and WTI prices at multiple lags. Unidirectional causality from both Brent to Argus and WTI to Argus is also documented. If the current Saudi Arabia attempt to increase market share is successful, variations in Argus prices may start preceding movements in Brent and WTI, also.

Suggested Citation

  • Semei Coronado & Thomas M. Fullerton & Omar Rojas, 2017. "Causality patterns for Brent, WTI, and Argus oil prices," Applied Economics Letters, Taylor & Francis Journals, vol. 24(14), pages 982-986, August.
    • Handle: RePEc:taf:apeclt:v:24:y:2017:i:14:p:982-986
    DOI: 10.1080/13504851.2016.1245830
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/13504851.2016.1245830
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13504851.2016.1245830?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Bravo Caro, José Manuel & Golpe, Antonio A. & Iglesias, Jesús & Vides, José Carlos, 2020. "A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends," Energy Economics, Elsevier, vol. 85(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:24:y:2017:i:14:p:982-986. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.