Investigation of the causal relationship between crude oil prices and petroleum product prices in American and European markets مقاله

خلاصه ماشینی:

In this study, by examining the long-term and short-term causal relationship between crude oil prices and petroleum product prices, the claim of structural change in the market after the decrease in gasoline and diesel storage in the US and Europe is tested. In this section, using the Vector Error Correction Model (VECM) is used to investigate the causality between WTI crude oil prices and gasoline for the US market, and Brent crude oil prices and diesel for Europe in two time periods: 1978-2002 and 2000-2002. 2005, Rao 2006, 2008, Jalali-Naini and Eskandari 2007), the Johansen and Juselius8(1990) Vector Error Correction Model estimation is used to determine the causality between WTI, gasoline, Brent, and diesel prices in the periods 1978-2002 and 2000-2002. Table 3- Results of the Johansen Maximum Likelihood test (Refer to the page image) Notes: (1) The * sign indicates rejection of the hypothesis at the 5% significance level (2) All variables are in logarithmic form Source: Jalali-Naini and Eskandari (2009) The AIC1 criterion and diagnostic statistics2 have been used to select the optimal models. Table 5- VECM model estimation results between Brent crude oil price and diesel price in the time interval from 1997 to July 2002 (Refer to the page image) Notes: As per the table above Source: Research findings The petroleum products market in America and Europe faced problems after the year 2003, and specifically, the gasoline and diesel markets, given the severe reduction in storages in America and Europe, entered a bottleneck(1), Chart (2) shows gasoline storages in America, which indicates a severe reduction after the year 2003.