教師資料查詢 | 類別: 期刊論文 | 教師: 廖惠珠 LIAO HUEI-CHU (瀏覽個人網頁)

標題:Are Crude Oil Markets Globalized or Regionalized? Evidence from WTI and Brent
學年102
學期1
出版(發表)日期2014/01/01
作品名稱Are Crude Oil Markets Globalized or Regionalized? Evidence from WTI and Brent
作品名稱(其他語言)
著者Liao, Huei-Chu; Lin, Shu-Chuan; Huang, Ho-Chuan
單位淡江大學經濟學系
出版者Abingdon: Routledge
著錄名稱、卷期、頁數Applied Economics Letters 21(4), pp.235-241
摘要This study applies a novel quantile unit root with structural breaks approach to explore whether the international crude oil markets are better characterized as ‘globalized’ or ‘regionalized’. By using the spreads between WTI and Brent crude oil prices as a benchmark, we find that the spreads contain a unit root in the lower quantiles but display mean reversion behaviour in the upper quantiles. However, instead of focusing on some selected (local) quantiles, the quantile Kolmogorov–Smirnov tests over a range of quantiles suggest that the price differentials are universally mean-reverting and, thus, provide strong support to the ‘globalization’ view.
關鍵字oil price spread; quantile unit root; structural breaks; globalized; regionalized
語言英文
ISSN1466-4291;1350-4851
期刊性質國外
收錄於SSCI;
產學合作
通訊作者Lin, Shu-Chuan
審稿制度
國別英國
公開徵稿
出版型式電子版,紙本
相關連結
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