publication . Article . 2017

The Cushing OK Crude Oil Futures Price Pass - Through to New York Harbor Reformulated RBOB Regular Gasoline Futures Price

Chu V. Nguyen;
Open Access English
  • Published: 01 Apr 2017 Journal: Journal of Eastern European and Central Asian Research (issn: 2328-8272, eissn: 2328-8280, Copyright policy)
  • Publisher: IEECA
This study utilizes an Autoregressive Distributed Lag model to investigate the nature of crude oil futures price pass-through since 2006. The empirical results reveal a very high but incomplete short-run pass-through rate from the crude oil futures price to the gasoline futures price of 0.849298 with a corresponding negative long-run pass-through rate of -0.2440894. These empirical findings suggest that traders in the U.S. oil and gasoline futures markets overreact to fluctuations in the crude oil futures price as evidenced by subsequent corrections made over the sample period. The result of the bounds test for a long-term relationship between these two futures ...
free text keywords: Autoregressive Distributed Lag model, crude oil futures price, gasoline futures price, futures price pass-through rate, long-term relationship, Business, HF5001-6182, Futures contract, Financial economics, Contango, Normal backwardation, Economics, Oil-storage trade, Crude oil, Distributed lag, Gasoline, Hedge (finance)
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