Causality-in-variance of prices of oil products

被引：2

作者：

Ben Sita, Bernard ^{[1
]}

Abosedra, Salah ^{[2
]}

机构：

[1] Lebanese Amer Univ, Finance, Dept Finance & Accounting, POB 13-5053, Beirut 11022801, Lebanon

[2] Lebanese Amer Univ, Dept Econ, Econ, Beirut, Lebanon

来源：

OPEC ENERGY REVIEW | 2013年 / 37卷 / 04期

关键词：

D O I：

10.1111/opec.12009

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper investigates causality-in-variance between the price of crude oil and the prices of refined oil products using US data. The cross-correlation function is applied on both normal and abnormal squared standardized residuals. We found that causality-in-variance has a lead from crude price to gasoline prices for not more than 2 days, and has a lag from gasoline to crude of not more than 2 days. In addition to the daily causality pattern, the monthly causality pattern reveals that the lead-invariance causation from crude price to refined products' prices and the lag-in-variance causation from refined products' prices to crude prices persist longer with abnormal squared shocks. These patterns suggest that market participants can advantageously adjust their positions within and across these markets.

引用

页码：373 / 386

页数：14

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