Abstract
The relationship between oil spot and futures prices has long been a focus of attention, but there is a lack of understanding about how these prices interact in times of crisis. Using cointegration and causality analysis, Brent crude spot and futures prices are examined before, during and after two different types of crises: (1) a supply-led event (the 1990–91 Gulf War) and (2) a demand-led event (the global financial cri-sis). Structural break analysis was employed to identify the subsamples to be studied. The core findings show evidence of a long-run bidirectional relationship between spot and futures prices. This study provides evidence that different types of crises engender different strengths of causal relationships between Brent crude spot and futures prices.
| Original language | English |
|---|---|
| Pages (from-to) | 31-52 |
| Number of pages | 22 |
| Journal | Journal of Energy Markets |
| Volume | 12 |
| Issue number | 4 |
| DOIs | |
| Publication status | Published - Dec 2019 |
Keywords
- Causality
- Cointegration
- Crisis
- Crude oil
- Spot and futures prices
- Structural break