Examining asymmetric behavior in US petroleum futures and spot prices

Bradley T. Ewing, Shawkat M. Hammoudeh, Mark Andrew Thompson

Research output: Contribution to specialist publicationArticle

28 Citations (Scopus)

Abstract

This paper uses the momentum-threshold autoregressive (M-TAR) model to examine the possible asymmetric relationship between petroleum futures and spot prices for three different markets: crude oil, heating oil, and gasoline in the United States. The results indicate that the futures and spot prices for each petroleum type are cointegrated when allowing for asymmetric adjustment for each of these energy markets. We further investigate the asymmetric behavior between the futures and spot prices by estimating the M-TAR error-correction model. The M-TAR model allows us to document the adjustments that these markets undergo in response to changes in the basis.

Original languageEnglish (US)
Pages9-23
Number of pages15
Volume27
No3
Specialist publicationEnergy Journal
DOIs
StatePublished - Jan 1 2006
Externally publishedYes

Fingerprint

Momentum
Crude oil
Error correction
Gasoline
Heating
Futures prices
Petroleum
Spot price
Threshold autoregressive model
Oils
Oil
Energy market
Error correction model
Asymmetric adjustment

ASJC Scopus subject areas

  • Economics and Econometrics
  • Energy(all)

Cite this

Examining asymmetric behavior in US petroleum futures and spot prices. / Ewing, Bradley T.; Hammoudeh, Shawkat M.; Thompson, Mark Andrew.

In: Energy Journal, Vol. 27, No. 3, 01.01.2006, p. 9-23.

Research output: Contribution to specialist publicationArticle

Ewing, Bradley T. ; Hammoudeh, Shawkat M. ; Thompson, Mark Andrew. / Examining asymmetric behavior in US petroleum futures and spot prices. In: Energy Journal. 2006 ; Vol. 27, No. 3. pp. 9-23.
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