Dynamic price interactions in energy commodities benchmarks: Insights from multifractal analysis during crisis periods

Abstract

This paper investigates the dynamic interrelationships between West Texas Intermediate (WTI) prices and various energy commodities including Brent crude oil futures, Brent spot prices, American diesel futures, and the Reformulated Blendstock for Oxygenate Blending, across four critical periods surrounding the Covid-19 pandemic and the Russia–Ukraine conflict. Employing the Multifractal Detrended Fluctuation Cross-Correlation Analysis (MFXDFA) methodology, the study analyzes both the static and dynamic Hurst exponents to examine the multifractal behaviors of these price relationships. Results indicate a pronounced increase in price persistence during the height of the Covid-19 pandemic, with a subsequent decrease during the Russia–Ukraine conflict, suggesting a shift toward a new price dynamic influenced by recent global crises. This research contributes to understanding the evolving dynamics in crude oil and refined products markets, shedding light on how major geopolitical and global health events can reshape market behavior and pricing structures in significant ways.