Examining asymmetric behavior in US petroleum futures and spot prices

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

Research output: Contribution to specialist publicationArticle

29 Scopus citations

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
No.3
Specialist publicationEnergy Journal
DOIs
Publication statusPublished - Jan 1 2006
Externally publishedYes

    Fingerprint

ASJC Scopus subject areas

  • Economics and Econometrics
  • Energy(all)

Cite this