期刊論文

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
ISSN 1466-4291;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