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Threshold Cointegration Analysis of Crude Oil Benchmarks

Author

Listed:
  • Shawkat M. Hammoudeh
  • Bradley T. Ewing
  • Mark A. Thompson
Abstract
The paper examines the dynamic relationship between pairs of four oil benchmark prices (i.e., West Texas Intermediate, Brent, Dubai, and Maya), which have different physical properties and locations. The results indicate that there is a long-run equilibrium relationship between different benchmarks, regardless of their properties and locations. More importantly, there is asymmetry in the adjustment process that is specifically modeled and implications are discussed.

Suggested Citation

  • Shawkat M. Hammoudeh & Bradley T. Ewing & Mark A. Thompson, 2008. "Threshold Cointegration Analysis of Crude Oil Benchmarks," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4), pages 79-96.
    • Handle: RePEc:aen:journl:2008v29-04-a04
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    More about this item

    JEL classification:

    • F0 - International Economics - - General

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