A Nonlinear Empirical Analysis of Oil Price Co-movements

Authors

  • Semei Coronado Universidad de Guadalajara, Centro Universitario de Ciencias Económico Administrativas, Departamento de Métodos Cuantitativos, Periférico Norte 799, Modulo M 201, Núcleo Universitario los Belenes, Zapopan, Jalisco, 45100, México
  • Thomas M. Fullerton Department of Economics & Finance, University of Texas at El Paso, 500 West University Avenue, El Paso, TX, USA
  • Omar Rojas Universidad Panamericana. Escuela de Ciencias Económicas y Empresariales. Prolongación Calzada Circunvalación Poniente 49, Zapopan, Jalisco, 45010, México. http://orcid.org/0000-0002-0681-3833

Abstract

Nonlinear co-movements are analyzed for the daily returns calculated for Brent and West Texas Intermediate (WTI) crude oil prices. The sample period includes data for the pre-2008 price increases and the post-2014 price declines.  Empirical results obtained indicate that it is important to allow for nonlinear and asymmetric patterns in the data. After doing so, unidirectional causality from Brent to WTI is documented with price declines exerting more reliable effects than price gains.  That is in contrast to what has been documented for other sample periods that do not allow for potential nonlinear and asymmetric linkages.Keywords: Nonlinear tests; Co-movement; Crude oil prices, Granger causality.JEL Classifications: C32, G15, Q43

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Author Biography

Omar Rojas, Universidad Panamericana. Escuela de Ciencias Económicas y Empresariales. Prolongación Calzada Circunvalación Poniente 49, Zapopan, Jalisco, 45010, México.

Research Professor

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Published

2018-05-08

How to Cite

Coronado, S., Fullerton, T. M., & Rojas, O. (2018). A Nonlinear Empirical Analysis of Oil Price Co-movements. International Journal of Energy Economics and Policy, 8(3), 290–294. Retrieved from https://mail.econjournals.com/index.php/ijeep/article/view/6248

Issue

Vol. 8 No. 3 (2018)

Section

Articles

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