RT Journal Article
T1 A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends
A1 Bravo Caro, José Manuel
A1 Golpe Moya, Antonio Aníbal
A1 Iglesias Garrido, Jesús
A1 Vides González, José Carlos
AB The standard cointegration and the persistence of the spread of the Brent-WTI price have been widely analyzed. However, no studies have been able to present evidence of both issues jointly so far. A novel focus is presented in this paper from the application of the fractionally cointegrated vector autoregressive (FCVAR) approach, which allows the rigidity of the standard cointegration to be solved. As result of the application of the FCVAR model, we identify several degrees of globalization by analyzing the order of integration of the error correction term. Indeed, by using Permanent-Transitory decomposition analysis, we present what drives the relationship between both oil crude prices’ information. The findings shown here reveal that the Brent-WTI market is strongly globalized. Nevertheless, the Brent–WTI price spread follows a long memory process, and the Brent drives the Brent-WTI price structure. These results sustain some corollaries on economic policies for economic agents, policy makers and business operators.
PB Elsevier
SN 0140-9883
SN 1873-6181 (electrónico)
YR 2019
FD 2019-11
LK https://hdl.handle.net/10272/24815
UL https://hdl.handle.net/10272/24815
LA eng
NO Bravo Caro, J. M., Golpe, A. A., Iglesias, J., & Vides, J. C. (2020). A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends. In Energy Economics (Vol. 85, p. 104546). Elsevier BV. https://doi.org/10.1016/j.eneco.2019.104546
DS Repositorio Institucional de la Universidad de Huelva
RD 1 jun 2026