| 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 | en |
| 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 | 是 |
| 國別 | GBR |
| 公開徵稿 | |
| 出版型式 | 電子版,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/97447 ) |
GoogleAnalytics