The World Oil Market is not "One Great Pool:" A Reply to Rodriguez and Williams

Weiner, Robert J.

doi:10.15173/esr.v5i3.312

Cited by 4 publications

(2 citation statements)

References 3 publications

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“…Conversely, Weiner (1991) argues that the crude oil markets are regionalized which challenges the "one great pool" hypothesis of Adelman (1984). These two competing hypotheses have stimulated many debates and extensive studies (Rodriguez and Williams, 1993;Weiner, 1993;Rodriguez and Williams, 1994).…”

Section: Introductionmentioning

confidence: 99%

Correlation structure and principal components in the global crude oil market

et al. 2016

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This article investigates the correlation structure of the global crude oil market using the daily returns of 71 oil price time series across the world from 1992 to 2012. We identify from the correlation matrix six clusters of time series exhibiting evident geographical traits, which supports Weiner (1991)'s regionalization hypothesis of the global oil market. We find that intra-cluster pairs of time series are highly correlated while inter-cluster pairs have relatively low correlations. Principal component analysis shows that most eigenvalues of the correlation matrix locate outside the prediction of the random matrix theory and these deviating eigenvalues and their corresponding eigenvectors contain rich economic information. Specifically, the largest eigenvalue reflects a collective effect of the global market, other four largest eigenvalues possess a partitioning function to distinguish the six clusters, and the smallest eigenvalues highlight the pairs of time series with the largest correlation coefficients. We construct an index of the global oil market based on the eigenfortfolio of the largest eigenvalue, which evolves similarly as the average price time series and has better performance than the benchmark 1/N portfolio under the buy-and-hold strategy.JEL classification: G1, C15

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Section: Introductionmentioning

confidence: 99%

Correlation structure and principal components in the global crude oil market

et al. 2016

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“…In the literature there are plenty of articles dealing with the integration of energy markets. Examples are , Weiner (1991Weiner ( , 1993, Serletis (1994), Williams (1993, 1994), Gülen (1997Gülen ( , 1999, Gjolberg andJohansen (1999), De Vany andWalls (1999), Lin and Tamvakis (2001), Milonas and Henker (2001), Asche et al (2002Asche et al ( , 2003Asche et al ( , 2006, Hammoudeh and Li (2004), Bachmeier and Griffin (2006), Bentzen (2007), Fattouh (2010, Chang et al (2010), Wlazlowski et al (2011) among many others.…”

Section: Introductionmentioning

confidence: 99%

Spatial crude oil production divergence and crude oil price behaviour in the United States

Monge

Gil-Alana

2021

Energy

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This paper deals with the analysis of (spatial) crude oil production divergence in the United States, paying particular attention to the domestic crude oil production between PADD 2 and PADD 3, which are the areas in which the bottleneck occurs and has a direct implication on the price of West Texas Intermediate (WTI). To this purpose, we use techniques based on fractional integration, fractional cointegration VAR (FCVAR) and wavelet analysis. Monthly data related to the oil production in the U.S. by regions (Anadarko, Appalachia, Bakken, Eagle Ford, Haynesville, Niobrara and Permian) from January 2007 to June 2020 are used. The results, using fractional integration and cointegration techniques, indicate that the time series analyzed are highly persistent and there is evidence of long run equilibrium relationships in some of the series. Finally, using wavelet analysis, we conclude that the most affected areas are Anadarko, Appalachia, Haynesville and Niobrara where an increase in the shale oil production is followed a decrease in WTI crude oil prices.

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