کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5106470 1481511 2017 38 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A Markov regime-switching model of crude oil market integration
ترجمه فارسی عنوان
مدل مارکوب سوئیچینگ یکپارچگی بازار نفت خام
موضوعات مرتبط
مهندسی و علوم پایه مهندسی انرژی انرژی های تجدید پذیر، توسعه پایدار و محیط زیست
چکیده انگلیسی
This paper revisits the globalization-regionalization hypothesis for the world crude oil market. We examine long-run equilibrium relationships between major crude oil prices-WTI, Brent, Bonny Light, Dubai and Tapis-and focus on the adjustment behaviour following disequilibrium states. We account for a changing adjustment behaviour over time by using a Markov-switching vector error correction model. Our overall findings suggest that the crude oil market is globalized. Dubai turned out to be the only weakly exogenous price in all regimes, indicating its important role as a benchmark price. Furthermore, an interesting finding of our study is that the degree of market integration seems to be connected to global economic uncertainty.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Commodity Markets - Volume 6, June 2017, Pages 16-31
نویسندگان
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