بررسي رابطه عليت بين قيمت نفت خام و قيمت فرآورده هاي نفتي در بازارهاي آمريكا و اروپا

An Assessment of Causal Links between Crude Oil and Refined Product Prices in US and European Markets

Crude oil is the main input for refined products and as a result its price has a major impact on oil product prices. Consequently, crude oil price fluctuations can have very significant effect on the price of refined products and there is a constant flow of information between the two markets . There have been a number of studies examining causal links between the price of crude oil and products (mainly gasoline, heating oil, and gasoil). Linear causality tests and vector-error correction tests indicate that causality (and long-run causality) runs from crude to products prices. There are deep spot and future markets in crude and refined products and the relationship between the first moments of their respective prices can be seen in the context of asset market information flows. Traditionally, the empirical studies examined causality in the mean level of prices. In this paper, we examine the information transmission mechanism, i.e. the causal relationship between prices of WTI-N.Y. Gasoline and Brent-Gasoil using weekly data during the 1987-2008. Our findings, based on bi-variate error correction test and Toda-Yamamoto (1995), confirm previous results indicating that long-run causality for the mean runs from crude to refined products prices for the whole sample period. However, following the substantial decline in gasoline stocks in the USA in 2003 and gasoil stocks in Europe in 2004, we find that due to a structural change in the market there is a reversal in the direction of long-run causality in the European market during Jan. 2004-July 2008, while there is no change in the direction of causality in the USA market in this period. However, information transmission flows between the two markets indicate that it is information from the crude oil market that dominate the refined products markets. JEL Classification: C22, G14, Q49