X. Jin, S. Lin and M. Tamvakis, Cass Business School City University London
Using three main pricing benchmarks (Brent, WTI, and Dubai), research was carried out to examine: if oil markets are integrated; the way in which volatility is transmitted across markets; and what impact shocks have on volatility. A summary of the literature suggests that the world crude oil market is broadly one great pool, with oil markets being unified, at least in pairs. In addition, the literature suggests that volatility is generally transmitted across markets. In considering if the volatilities of the three benchmarks were interdependent, the research found that there is evidence that volatility is transmitted across benchmarks leading to closer market integration. It also found that in respect to the relationship between volatility and shock events, that Brent shows most “responsiveness” to shock events, followed by Dubai, with WTI lagging behind the other two. It is questioned whether this represents a permanent decoupling or whether this is becoming the dominant US crude, rather than an international benchmark. A number of possible areas for further research are set out.
Categories: Energy economics, Meetings, Oil
Tags: Contracts, Export, Fossil fuels, Global, Import, oil market outlook, Oil markets, Pricing, Risk, Supply demand balance, Volatility, Wholesale market
Volatility transmission in crude oil - 2012.pdf 970.77 KBSELECT YEAR(post_date) AS `year`, MONTH(post_date) AS `month`, count(ID) as posts FROM wp_posts WHERE post_type = 'resources' AND post_parent = 0 AND post_status = 'publish' GROUP BY YEAR(post_date), MONTH(post_date) ORDER BY post_date DESC LIMIT 100
Array ( [0] => stdClass Object ( [year] => 2020 [month] => 11 [posts] => 3 ) [1] => stdClass Object ( [year] => 2020 [month] => 7 [posts] => 1 ) [2] => stdClass Object ( [year] => 2020 [month] => 6 [posts] => 1 ) [3] => stdClass Object ( [year] => 2020 [month] => 5 [posts] => 2 ) [4] => stdClass Object ( [year] => 2020 [month] => 2 [posts] => 1 ) [5] => stdClass Object ( [year] => 2019 [month] => 11 [posts] => 2 ) [6] => stdClass Object ( [year] => 2019 [month] => 10 [posts] => 4 ) [7] => stdClass Object ( [year] => 2019 [month] => 9 [posts] => 10 ) [8] => stdClass Object ( [year] => 2019 [month] => 6 [posts] => 1 ) [9] => stdClass Object ( [year] => 2019 [month] => 5 [posts] => 1 ) [10] => stdClass Object ( [year] => 2019 [month] => 4 [posts] => 1 ) [11] => stdClass Object ( [year] => 2019 [month] => 2 [posts] => 2 ) [12] => stdClass Object ( [year] => 2019 [month] => 1 [posts] => 1 ) [13] => stdClass Object ( [year] => 2018 [month] => 11 [posts] => 1 ) [14] => stdClass Object ( [year] => 2018 [month] => 10 [posts] => 4 ) [15] => stdClass Object ( [year] => 2018 [month] => 9 [posts] => 53 ) [16] => stdClass Object ( [year] => 2018 [month] => 6 [posts] => 1 ) [17] => stdClass Object ( [year] => 2018 [month] => 4 [posts] => 1 ) [18] => stdClass Object ( [year] => 2018 [month] => 2 [posts] => 1 ) [19] => stdClass Object ( [year] => 2017 [month] => 10 [posts] => 5 ) [20] => stdClass Object ( [year] => 2017 [month] => 9 [posts] => 7 ) [21] => stdClass Object ( [year] => 2017 [month] => 6 [posts] => 1 ) [22] => stdClass Object ( [year] => 2017 [month] => 4 [posts] => 2 ) [23] => stdClass Object ( [year] => 2017 [month] => 3 [posts] => 2 ) [24] => stdClass Object ( [year] => 2017 [month] => 2 [posts] => 1 ) [25] => stdClass Object ( [year] => 2016 [month] => 11 [posts] => 5 ) [26] => stdClass Object ( [year] => 2016 [month] => 10 [posts] => 5 ) [27] => stdClass Object ( [year] => 2016 [month] => 9 [posts] => 51 ) [28] => stdClass Object ( [year] => 2016 [month] => 7 [posts] => 1 ) [29] => stdClass Object ( [year] => 2016 [month] => 6 [posts] => 1 ) [30] => stdClass Object ( [year] => 2016 [month] => 5 [posts] => 1 ) [31] => stdClass Object ( [year] => 2016 [month] => 4 [posts] => 1 ) [32] => stdClass Object ( [year] => 2016 [month] => 2 [posts] => 2 ) [33] => stdClass Object ( [year] => 2015 [month] => 11 [posts] => 3 ) [34] => stdClass Object ( [year] => 2015 [month] => 10 [posts] => 5 ) [35] => stdClass Object ( [year] => 2015 [month] => 9 [posts] => 8 ) [36] => stdClass Object ( [year] => 2015 [month] => 6 [posts] => 3 ) [37] => stdClass Object ( [year] => 2015 [month] => 5 [posts] => 1 ) [38] => stdClass Object ( [year] => 2015 [month] => 4 [posts] => 1 ) [39] => stdClass Object ( [year] => 2015 [month] => 3 [posts] => 1 ) [40] => stdClass Object ( [year] => 2015 [month] => 2 [posts] => 3 ) [41] => stdClass Object ( [year] => 2014 [month] => 11 [posts] => 1 ) [42] => stdClass Object ( [year] => 2014 [month] => 10 [posts] => 6 ) [43] => stdClass Object ( [year] => 2014 [month] => 9 [posts] => 51 ) [44] => stdClass Object ( [year] => 2014 [month] => 6 [posts] => 3 ) [45] => stdClass Object ( [year] => 2014 [month] => 5 [posts] => 2 ) [46] => stdClass Object ( [year] => 2014 [month] => 4 [posts] => 1 ) [47] => stdClass Object ( [year] => 2014 [month] => 3 [posts] => 2 ) [48] => stdClass Object ( [year] => 2014 [month] => 2 [posts] => 1 ) [49] => stdClass Object ( [year] => 2014 [month] => 1 [posts] => 2 ) [50] => stdClass Object ( [year] => 2013 [month] => 11 [posts] => 3 ) [51] => stdClass Object ( [year] => 2013 [month] => 10 [posts] => 9 ) [52] => stdClass Object ( [year] => 2013 [month] => 9 [posts] => 12 ) [53] => stdClass Object ( [year] => 2013 [month] => 7 [posts] => 5 ) [54] => stdClass Object ( [year] => 2013 [month] => 6 [posts] => 5 ) [55] => stdClass Object ( [year] => 2013 [month] => 5 [posts] => 2 ) [56] => stdClass Object ( [year] => 2013 [month] => 4 [posts] => 3 ) [57] => stdClass Object ( [year] => 2013 [month] => 3 [posts] => 2 ) [58] => stdClass Object ( [year] => 2013 [month] => 2 [posts] => 2 ) [59] => stdClass Object ( [year] => 2012 [month] => 10 [posts] => 6 ) [60] => stdClass Object ( [year] => 2012 [month] => 9 [posts] => 57 ) [61] => stdClass Object ( [year] => 2012 [month] => 6 [posts] => 1 ) [62] => stdClass Object ( [year] => 2012 [month] => 4 [posts] => 1 ) [63] => stdClass Object ( [year] => 2012 [month] => 3 [posts] => 4 ) [64] => stdClass Object ( [year] => 2012 [month] => 1 [posts] => 4 ) [65] => stdClass Object ( [year] => 2011 [month] => 11 [posts] => 1 ) [66] => stdClass Object ( [year] => 2011 [month] => 10 [posts] => 3 ) [67] => stdClass Object ( [year] => 2011 [month] => 9 [posts] => 10 ) [68] => stdClass Object ( [year] => 2011 [month] => 4 [posts] => 2 ) [69] => stdClass Object ( [year] => 2011 [month] => 2 [posts] => 2 ) [70] => stdClass Object ( [year] => 2011 [month] => 1 [posts] => 2 ) [71] => stdClass Object ( [year] => 2010 [month] => 10 [posts] => 4 ) [72] => stdClass Object ( [year] => 2010 [month] => 9 [posts] => 49 ) [73] => stdClass Object ( [year] => 2010 [month] => 3 [posts] => 1 ) [74] => stdClass Object ( [year] => 2010 [month] => 1 [posts] => 2 ) [75] => stdClass Object ( [year] => 2009 [month] => 11 [posts] => 3 ) [76] => stdClass Object ( [year] => 2009 [month] => 10 [posts] => 2 ) [77] => stdClass Object ( [year] => 2009 [month] => 9 [posts] => 13 ) [78] => stdClass Object ( [year] => 2009 [month] => 3 [posts] => 1 ) [79] => stdClass Object ( [year] => 2009 [month] => 2 [posts] => 5 ) [80] => stdClass Object ( [year] => 2009 [month] => 1 [posts] => 1 ) [81] => stdClass Object ( [year] => 2008 [month] => 11 [posts] => 2 ) [82] => stdClass Object ( [year] => 2008 [month] => 10 [posts] => 3 ) [83] => stdClass Object ( [year] => 2008 [month] => 9 [posts] => 24 ) [84] => stdClass Object ( [year] => 2008 [month] => 4 [posts] => 1 ) [85] => stdClass Object ( [year] => 2008 [month] => 1 [posts] => 2 ) [86] => stdClass Object ( [year] => 2007 [month] => 12 [posts] => 1 ) [87] => stdClass Object ( [year] => 2007 [month] => 11 [posts] => 1 ) [88] => stdClass Object ( [year] => 2007 [month] => 10 [posts] => 1 ) [89] => stdClass Object ( [year] => 2007 [month] => 9 [posts] => 10 ) [90] => stdClass Object ( [year] => 2007 [month] => 6 [posts] => 2 ) [91] => stdClass Object ( [year] => 2007 [month] => 5 [posts] => 1 ) [92] => stdClass Object ( [year] => 2007 [month] => 4 [posts] => 1 ) [93] => stdClass Object ( [year] => 2006 [month] => 11 [posts] => 1 ) [94] => stdClass Object ( [year] => 2006 [month] => 9 [posts] => 31 ) [95] => stdClass Object ( [year] => 2006 [month] => 3 [posts] => 1 ) [96] => stdClass Object ( [year] => 2006 [month] => 1 [posts] => 1 ) [97] => stdClass Object ( [year] => 2004 [month] => 4 [posts] => 1 ) )
For priority access to our events & gain access to our downloadable resources
To receive email updates about our forthcoming events and news please sign up here.
Email: admin@biee.org
Tel: 01296 747 916
Fax: 01296 747916