Modeling the Response of Gasoline-Crude Oil Price Crack Spread Macroeconomic Shocks

被引：2

作者：

Ewing B.T. ^{[1
]}

Thompson M.A. ^{[2
]}

机构：

[1] Jerry S. Rawls College of Business, Texas Tech University, Lubbock, TX

[2] James M. Hull College of Business, Augusta University, Augusta, GA

来源：

Atlantic Economic Journal | 2018年 / 46卷 / 2期

关键词：

C32; Crack spread; Crude oil price; Gasoline price; Impulse response; Macroeconomic factors; Q43; Vector autoregression;

D O I：

10.1007/s11293-018-9582-x

中图分类号：

学科分类号：

摘要：

To date, considerable attention has been given to evaluating movements in crude oil and gasoline prices and in determining the significance of fundamental state variables that may influence these prices. This paper differs from the existing literature by identifying the response of the single-product gasoline-crude oil crack spread to unexpected changes in real output growth, inflation, the corporate default risk premium, and the stance of monetary policy utilizing the econometric techniques of vector autoregression and generalized impulse response analysis. The generalized impulse response method does not impose a priori restrictions as to the relative importance each of the state variables may play in the process of transmitting unexpected information from the macroeconomic variables to the crack spread. The results show the extent and the magnitude of the relationship between the crack spread being investigated and macroeconomic factors. © 2018, International Atlantic Economic Society.

引用

页码：203 / 213

页数：10

共 30 条

[1]

Adrangi B., Chatrath A., Song F., Szidarovszky F., Petroleum spreads and the term structure of futures prices, Applied Economics, 38, pp. 1917-1929, (2006)

[2]

Al-Othman W., Lababidi H., Alatiqi I., Al-Shayji K., Supply chain optimization of petroleum organization under uncertainty in market demands and prices, European Journal of Operational Research, 189, pp. 822-840, (2008)

[3]

Atil A., Lahiani A., Nguyen D., Asymmetric and nonlinear pass-through of crude oil prices to gasoline and natural gas prices, Energy Policy, 65, pp. 567-573, (2014)

[4]

Bernanke B., Blinder A., The federal funds rate and the channels of monetary policy, American Economic Review, 82, pp. 901-921, (1992)

[5]

Bils M., The cyclical behavior of marginal cost and price, American Economic Review, 77, pp. 838-855, (1987)

[6]

Chen R., Deng T., Huang S., Qin R., Optimal crude oil procurement under fluctuating price in an oil refinery, European Journal of Operational Research, 245, pp. 438-445, (2015)

[7]

Cleveland C., Kaufmann R., Stern D., Aggregation and the role of energy in the economy, Ecological Economics, 32, pp. 301-317, (2000)

[8]

Espey M., Gasoline demand revisited: An international meta-analysis of elasticities, Energy Economics, 20, pp. 273-295, (1998)

[9]

Ewing B., Cross-effects of fundamental state variables, Journal of Macroeconomics, 23, pp. 633-645, (2001)

[10]

Ewing B., Thompson M., Dynamic cyclical Comovements of oil prices with industrial production, consumer prices, unemployment and stock prices, Energy Policy, 35, pp. 5535-5540, (2007)

← 1 2 3 →