Price Dynamics under the presence of Threshold Effects in WTI Crude Oil Markets

• 영문명: Price Dynamics under the presence of Threshold Effects in WTI Crude Oil Markets
• 발행기관: 한국무역연구원
• 저자명: Eun-Young Kim
• 간행물 정보: 『무역연구』제9권 제1호, 315~342쪽, 전체 28쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2013.03.30

영문 초록

We analyze the adjustment process to long-run equilibrium and short-run dynamics with WTI spot and futures prices using a bivariate 3-regime TVECM. After dividing the entire sample into 5 sub-samples, we apply this model to each sub-sample. This allows us to check the differentiable effects of market conditions which can vary by sub-samples and regimes, on investors' behaviors. The estimation results show quite interesting points. First, the middle regimes of all 5 sub-samples are not targeted by investors, so we can find their activities only in lower and/or upper regimes. Second, we can make 3 different groups with 5 sub-samples. Sub-sample l shows brisk movements in futures markets under the price information leadership of spot markets and relatively longer adjustment time compared to the other 4 sub-samples. Sub-samples 2, 3, and 4 show the opposite phenomena to sub-sample l probably caused by sporadic big shocks on world economy. Sub-sample 5 shows mixed results in lower and upper regimes. We can analyze quite differentiable and opposite adjustments according to regimes in this sub-sample even under the dominated contango condition, which can be regarded as the precious harvest of employing a bivariate 3-regirne TVECM in this paper.

목차

Abstract

I. Introduction

II. Research Methodologies

III. Data

IV. Empirical Analysis

V. Conclusions

References

키워드

3-Regime Threshold Vector Error Correction Models Arbitrage Possibility Nonlinearity