Causality patterns for Brent,WTI, and Argus oil prices |
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| Authors: | Semei Coronado Thomas M. Fullerton Jr. Omar Rojas |
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| Affiliation: | 1. Departamento de Métodos Cuantitativos, Centro Universitario de Ciencias Económico Administrativas, Universidad de Guadalajara, Zapopan, México;2. Department of Economics &3. Finance, University of Texas at El Paso, El Paso, TX, USA;4. Escuela de Ciencias Económicas y Empresariales, Universidad Panamericana Campus Guadalajara, Zapopan, México |
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| Abstract: | Causality patterns are analysed for daily Brent, West Texas Intermediate (WTI), and Argus Sour Crude Index (Argus) oil prices, Argus is the reference price for exports from Saudi Arabia, Kuwait and Iraq. Nonparametric Granger causality testing uncovers bi-directional causal links between Brent and WTI prices at multiple lags. Unidirectional causality from both Brent to Argus and WTI to Argus is also documented. If the current Saudi Arabia attempt to increase market share is successful, variations in Argus prices may start preceding movements in Brent and WTI, also. |
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| Keywords: | Crude oil prices nonparametric Granger causality nonlinearity |
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