Journal article
The impact of the Asian crisis on the behavior of US and international petroleum prices
Energy economics, v 26(1), pp 135-160
2004
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
The strong long-run relationships among the petroleum spot and futures prices have weakened after the Asian crisis as manifested in less co-integration among these prices. In the post-crisis period, the directional causal relationships have either changed the direction as in the case of WTI crude or weakened somewhat as in the case of NYMEX gasoline and heating oil. These changes should complicate the job of those who try to benefit from predicting the movements of petroleum prices after the Asian crisis. In the international gasoline spot markets, movements in the NYMEX gasoline price are found to precede movements in the Gulf Coast and Rotterdam gasoline prices in the pre-crisis period, and the movements of these prices and those of the Singapore price in the post-crisis period, implying that the NYMEX price is the gasoline leader in both periods. The Monday/Friday day-of-the-week effect is only significant for the NYMEX gasoline 1-month and 3-month futures prices and the Gulf Coast gasoline spot. Economic and political shocks related to the spot prices have greater impacts on all prices than shocks related to the futures prices, regardless of the petroleum type and the time period.
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Details
- Title
- The impact of the Asian crisis on the behavior of US and international petroleum prices
- Creators
- Shawkat Hammoudeh - Drexel UniversityHuimin Li - Drexel University
- Publication Details
- Energy economics, v 26(1), pp 135-160
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000188081600011
- Scopus ID
- 2-s2.0-0347300431
- Other Identifier
- 991019167910204721
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- Web of Science research areas
- Economics