Do Heating Oil Prices Adjust Asymmetrically To Changes In Crude Oil Prices

Main Article Content

Paul Berhanu Girma

Keywords

petroleum futures, threshold cointegration, asymmetric adjustment

Abstract

This study investigated if there is an asymmetric relationships between heating oil and crude oil futures price changes for maturities of one to four months. The study finds that heating oil and crude oil futures price series of one-month to four month maturities are threshold cointegrated. The study also shows that heating oil and crude oil futures prices adjust "Asymmetrically" for deviation from equilibrium. At shorter maturities (one and two month contracts) heating oil and crude oil prices adjust faster for positive deviation from threshold equilibrium. In contrast, for longer maturities (three and four month contracts) heating oil and crude oil prices adjust faster for negative deviation from equilibrium. Finally, this study finds that only heating oil prices adjust to clear deviations from long-run equilibrium relationship.

Downloads

Download data is not yet available.
Abstract 69 | PDF Downloads 80