Testing for adjustment costs and regime shifts in BRENT crude futures market

Economic Modelling

Volumn 28, Issue 3, 2011, Pages 1000-1008

  Mamatzakis, E ^a   Remoundos, P ^b  

^a UNIVERSITY OF PIRAEUS   (Greece)

^b International Markets Analysis   (Greece)

Author keywords

BRENT crude futures; C53; E27; E37; ML estimation; Non normality; Threshold cointegration

Indexed keywords

EID: 79953067113     PISSN: 02649993     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econmod.2010.11.008     Document Type: Article

References (46)

1. Abosedra S., Baghestani H. On the predictive accuracy of crude oil futures prices. Energy Policy 2004, 32:1389-1393.
2. Andrews D., Zivot E. Further evidence on the Great Crash, the oil price shock, and the unit-root hypothesis. Journal of Business and Economic Statistics 1992, 10:251-270.
3. Askari H., Krichene N. Oil price dynamics (2002-2006). Energy Economics 2008, 30(5):2134-2153. Elsevier.
4. Brennan M.J., Schwartz E. Evaluating natural resource investments. Journal of Business 1985, 58(2):135-157.
5. CFTC Performance and Accountability Report 2009, Commodity Futures Trading Commission, Washington D.C., 20581.
6. Chance D.M. An Introduction to Options and Futures 1991, Dryden Press, Chicago.
7. Chung H., Ho T.-W., Wei L.-J. The dynamic relationship between the prices of ADRs and their underlying stocks: evidence from threshold vector error correction model. Applied Economics 2005, 37(20):2387-2394.
8. Cifarelli G., Paladino G. Oil price dynamics and speculation. A Multivariate Financial Approach 2008, Università degli Studi di Firenze, Working Paper N. 15/2008.
9. Cunado J., Perez de Gracia F. Do oil price shocks matter? Evidence for some European countries. Energy Economics 2003, 25:137-154.
10. Deaves Richard, Charupat Narat Backwardation and Normal Backwardation in Energy Futures Markets 2002, ZEW Discussion Papers, 02-59.
11. Elliot G., Rothenberg T., Stock J. Efficient tests for an autoregressive unit root. Econometrica 1996, 64:813-836.
12. Fama E.F., French K.R. Permanent and temporary components of stock prices. Journal of Political Economy 1988, 96:246-273.
13. Figuerola-Ferretti I., Gonzalo J. Modelling and measuring price discovery in commodity makets. Business Economics Working Papers, 2007 2007, Universidad Carlos III, Departamento de Economía de la Empresa.
14. Granger C.W.J. Cointegrationanderrorcorrection:representation, estimation and testing. Econometrica 1987, 55:251-276.
15. Gregory A.W., Hansen B.E. Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics 1996, 70:99-126.
16. Gibson R., Schwartz E. Pricing of oil contingent claims. Journal of Finance 1990, 45(3):959-976.
17. Gulen S.G. Efficiency in the crude oil futures market. Journal of Energy Finance and Development 1998, 3:13-21.
18. Hamilton J. Causes and consequences of the oil shock of 2007-08. NBER Working Paper 2009, May, No. 15002.
19. Im Kyung So., M.Hashem Pesaran, Shin Yongcheol Testing for unit roots in heterogeneous panels. Journal of Econometrics 2003, 115(1):53-74. July.
20. IMF World Economic and Financial Surveys: Globalization and Inflation, Washington D.C 2006.
21. Johansen S. Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica 1991, 59(6):1551-1580.
22. Johansen S. Statistical analysis of cointegrating vectors. Journal of Economic Dynamics and Control 1988, 12:231-254.
23. Kaldor N. Speculation and economic stability. Review of Economic Studies 1939, 7:1-27.
24. Keynes J.M. Some aspects of commodity markets. Manchester Guardian Commercial: European Reconstruction Series 1923, 13:784-786.
25. Leuthold R.M., Junkus J.C., Cordier J.E. The Theory and Practice of Futures Markets 1989, Lexington Books, D.C. Health and Co, Lexington, MA.
26. Litzenberger R.H., Rabinowitz N. Backwardation in oil futures markets: theory and empirical evidence. Journal of Finance 1995, 50.
27. Maslyuk S., Smyth R. Cointegration between oil spot and future prices of the same and different grades in the presence of structural change. Energy Policy 2009, 37(5):1687-1693.
28. McAleer M., Sequeira J.M. Efficient estimation and testing of oil futures contracts in a mutual offset system. Applied Financial Economics 2004, 14:953-962.
29. Meyer J. Measuring market integration in the presence of transaction costs: a threshold vector error correction approach. Journal of Agricultural Economics 2004, 31(2-3):327-334.
30. Mehrara M., Moeini A., Ahrari M., Erfanifard A. Investigating the efficiency in oil futures market based on GMDH approach. Expert Systems with Applications 2009, 36(4):7479-7483.
31. Hansen B.E. Tests for parameter instability in regressions with I(1) processes. Journal of Business and Economics Statistics 1992, 10:321-335.
32. Hansen Bruce E., Seo Byeongseon Testing for two-regime threshold cointegration in vector error-correction models. Journal of Econometrics 2002, 110(2):293-318. Elsevier, October.
33. Narayan P.K., Narayan S., Smyth R. Are oil shocks permanent or temporary? Panel data evidence from crude oil and NGL production in 60 countries. Energy Economics 2008, 30:919-936.
34. Hamilton J.D. Oil and the macroeconomy. New Palgrave Dictionary of Economics 2007, Palgrave-MacMillan. S. Durlauf, L. Blume (Eds.).
35. Hamilton J. Causes and Consequences of the Oil Shock of 2007-08, Brookings Institute 2009.
36. Peroni E., McNown R.F. Non informative and informative tests of efficiency in three energy futures markets. Journal of Futures Markets 1998, 18:936-964.
37. Quan J. Two-step testing procedure for price discovery role of futures prices. Journal of Futures Markets 1992, 12:139-149.
38. Sanders D.R., Manfredo M.R., Boris K. Accuracy and efficiency in the U.S. Department of Energy's short-term supply forecasts. Energy Economics 2008, 30:1192-1207.
39. Schwartz T.V., Szakmary A.C. Price discovery in petroleum markets: arbitrage, cointegration and the time interval of analysis. Journal of Futures Markets 1994, 14:147-167.
40. Serletis A., Banack D. Market efficiency and cointegration: an application to petroleum markets. The Review of Futures Markets 1990, 9:372-380.
41. Silvapulle P., Moosa I.A. The relationship between spot and futures prices: evidence from the crude oil market. Journal of Futures Markets 1999, 19:175-193.
42. Switzer L.N., El-Khoury M. Extreme volatility, speculative efficiency, and the hedging effectiveness of the oil futures markets. Journal of Future Markets 2006, 61-84.
43. Weiner R.J. Speculation and Oil Price Volatility, paper presented in EIA Annual Conference, Washington 2009.
44. Williams J.L. Oil Price History and Analysis, WTRG Economics Website 2009.
45. Wu T., McCallum A. FRBSF Economic Letters 2005, 1-3. No 2005-38.
46. Wu J.-L., Chen P.-F. Price indices and nonlinear mean reversion of real exchange rates. Southern Economic Journal 2006, 73:461-471.