Modeling the United States crack spread: Market efficiency, persistence and the Verleger hypothesis

IF 3.1 4区工程技术 Q3 ENERGY & FUELS

Energy Sources Part B-Economics Planning and Policy Pub Date : 2021-10-03 DOI:10.1080/15567249.2021.1986172

José Carlos Vides, Mónica Carmona, Julia Feria, A. Golpe

引用次数: 1

Abstract

ABSTRACT The price formation of crude oil and its refined products plays an essential role in the global economic system and mainly in the United States, where any shock on this market has implications for the different concerned parties. In this sense, we employ the fractionally cointegrated vector autoregressive model to analyze the long-run relationship between crude oil and each refined product and the persistence of the error term resulting, i.e., the crack spread, simultaneously. Once the cointegrating relationships between crude oil price and each refined product price are tested, we also evidence that the order of integration of the crack spread displays a long memory process. Finally, by attending to the coefficient adjustments, supply-driven market integration is given. Additionally, the Verleger hypothesis is rejected for all refined products, corroborated by the component share. This paper has important policy implications for investors, energy policymakers and refiners.

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美国裂缝蔓延模型:市场效率、持久性和维勒格假说

原油及其成品油的价格形成在全球经济体系中起着至关重要的作用，主要是在美国，在这个市场上的任何冲击都会对不同的相关方产生影响。从这个意义上说，我们采用分数协整向量自回归模型来分析原油和每种成品油之间的长期关系，以及由此产生的误差项(即裂缝扩展)的持久性。对原油价格与各成品油价格之间的协整关系进行检验，也证明了裂缝价差的积分顺序具有较长的记忆过程。最后，通过注意系数调整，给出了供给驱动的市场一体化。此外，所有精炼产品的Verleger假设被拒绝，由成分份额证实。本文对投资者、能源政策制定者和炼油商具有重要的政策意义。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Energy Sources Part B-Economics Planning and Policy ENERGY & FUELS-

CiteScore

6.80

自引率

12.80%

发文量

审稿时长

6-12 weeks

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