Price relationships in the petroleum market: an analysis of crude oil and refined product prices

Asche, Frank; Gjølberg, Ole; Völker, Teresa

doi:10.1016/s0140-9883(02)00110-x

Cited by 132 publications

(59 citation statements)

References 18 publications

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“…Similarly to our previous case with Brent and Gasoil, we must dismiss the validity of cointegration relationship between WTI and Heating purely based on the results from the VECM. We agree on this point with the conclusions by Asche et al (2003), who rejected the cointegration between Crude Oil and Heavy Fuel Oil (whose Heating Oil is one component) during the study period 1992-2000. Finally, note that a structural break could be detected here on January 4, 2011.…”

Section: Wti and Heating Oilsupporting

confidence: 91%

“…Additionally, the errorcorrection term stimulates the real commodity price adjustment (but not the real oil price adjustment). Asche et al (2003) investigate the relationship between Brent crude oil and refined product prices during 1992-2000. They find empirical evidence of a long run relationship between the prices of crude oil, gasoil, kerosene and naphtha.…”

Section: Petroleum Productsmentioning

confidence: 99%

See 1 more Smart Citation

Assessing the Cross-Commodity Relationships in Energy Markets

Chevallier

Ielpo²

2014

Energy Studies Review

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This article reviews cointegration analyses in energy markets (e.g. WTI, Brent, Gasoil, Heating Oil, Natural Gas) during 1993-2011 using daily data. The main focus lies in the determination of long-term relationships between these specific energy commodities, with the inclusion of structural breaks. The results globally point out the existence of shared trends among energy markets. The crude oil price (with the WTI as its benchmark) seems to be the leader in the price discovery process, since most of the time it triggers the adjustement towards the long term stationary equilibrium between the variables in the cointegration system.

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Section: Wti and Heating Oilsupporting

confidence: 91%

Section: Petroleum Productsmentioning

confidence: 99%

Assessing the Cross-Commodity Relationships in Energy Markets

Chevallier

Ielpo²

2014

Energy Studies Review

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“…Asche, Gjolberg, and Völker (2003) examine the price relationships among crude oil and refined products. They find that the crude oil price is weakly exogenous and that the spread is constant among some of the prices.…”

Section: Previous Workmentioning

confidence: 99%

The Impact of Ethanol Production on U.S. and Regional Gasoline Prices and on the Profitability of the U.S. Oil Refinery Industry

Hayes

2008

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Using pooled regional time-series data and panel data estimation, we quantify the impact of monthly ethanol production on monthly retail regular gasoline prices. This analysis suggests that the growth in ethanol production has caused retail gasoline prices to be $0.29 to $0.40 per gallon lower than would otherwise have been the case. The analysis shows that the negative impact of ethanol on gasoline prices varies considerably across regions. The Midwest region has the biggest impact, at $0.39/gallon, while the Rocky Mountain region had the smallest impact, at $0.17/gallon. The results also indicate that ethanol production has significantly reduced the profit margin of the oil refinery industry. The results are robust with respect to alternative model specifications. Keywords AbstractUsing pooled regional time-series data and panel data estimation, we quantify the impact of monthly ethanol production on monthly retail regular gasoline prices. This analysis suggests that the growth in ethanol production has caused retail gasoline prices to be $0.

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“…We think that the choice of the price index is not crucial since it is highly correlated with prices of refined products (Asche et al 2003). As we estimate the coefficients of the exogenous oil price process for the whole sample period we use the same energy price shock for both subperiods.…”

Section: Effects Of Oil Price Shocks On German Business Cycles 13mentioning

confidence: 99%

Effects of Oil Price Shocks on German Business Cycles

Schmidt

Zimmermann

2005

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in Effects of Oil Price Shocks on German Business CyclesAbstract In this paper we analyse to what extent movements in oil prices can help to explain business cycle fluctuations in Germany. We proceed in several steps: As a starting point we use a standard real business cycle model for the German economy and introduce energy as an additional factor in the production function. As in Kim/Loungani (1992) our finding is that oil price shocks increase the volatility of output but only to a limited extent. We therefore continue by using a real business cycle model for a small open economy and again include energy use in the production function (de Miguel et al. 2003). But compared to our previous model we could only find an additional increase in volatility of output under certain conditions. Subsequently, we use these models to analyse whether the impact of oil price movements has changed over time by splitting our data set into two subsamples: the first from 1970 to 1986 and the second from 1987 to 2002. The main results suggest that the reduced importance of energy for industrial production substantially decreases the vulnerability of the German economy with regard to oil price shocks. JEL-Classification: E32

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Price relationships in the petroleum market: an analysis of crude oil and refined product prices

Cited by 132 publications

References 18 publications

Assessing the Cross-Commodity Relationships in Energy Markets

Assessing the Cross-Commodity Relationships in Energy Markets

The Impact of Ethanol Production on U.S. and Regional Gasoline Prices and on the Profitability of the U.S. Oil Refinery Industry

Effects of Oil Price Shocks on German Business Cycles

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