Wlazlowski, Szymon, Hagströmer, Björn and Giulietti, Monica. (2011) Causality in crude oil prices. Applied Economics, Vol.43 (No.24). pp. 3337-3347. ISSN 0003-6846

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Abstract

Crude oil markets witness growing disparity between the quality of crudes supplied and demanded in the market. The market share of low‐quality crudes is increasing due to the depletion of old fields and increasing demand. This is unnerving the practitioners and affecting the relevance of the traditional benchmark crudes due to the lack of lower quality benchmarks (Montepeque, 2005). In this article, we apply Granger causality tests to study the price dependence of 32 crudes in order to establish which crudes drive other prices and which ones simply follow general market trends. Our results indicate that some of the old benchmarks are still relevant while others can be disregarded. Our results also interestingly show that the low-quality Mediterranean Russian Urals crude, introduced in the late 1990s, has emerged recently as a significant driver of global prices.

Item Type:	Journal Article
Divisions:	Faculty of Social Sciences > Warwick Business School
Journal or Publication Title:	Applied Economics
Publisher:	Taylor & Francis Ltd.
ISSN:	0003-6846
Date:	2011
Volume:	Vol.43
Number:	No.24
Page Range:	pp. 3337-3347
Identification Number:	10.1080/00036841003636250
Status:	Peer Reviewed
Publication Status:	Published
URI:	http://wrap.warwick.ac.uk/id/eprint/50880

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