Journal of Energy Markets

Risk.net

Brent crude oil spot and futures prices: structural break insights

Miroslava Zavadska, Lucıa Morales and Joseph Coughlan

  • Cointegration and causality analysis with structural breaks
  • Confirmed bi-directional cointegration relationship between spot and futures prices
  • Changing pattern in causality results found depending on type of crisis
     

The relationship between oil spot and futures prices has long been a focus of attention, but there is a lack of understanding about how these prices interact in times of crisis. Using cointegration and causality analysis, Brent crude spot and futures prices are examined before, during and after two different types of crises: (1) a supply-led event (the 1990–91 Gulf War) and (2) a demand-led event (the global financial crisis). Structural break analysis was employed to identify the subsamples to be studied. The core findings show evidence of a long-run bidirectional relationship between spot and futures prices. This study provides evidence that different types of crises engender different strengths of causal relationships between Brent crude spot and futures prices.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: