Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.11851/6737
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Murat, Atılım | - |
dc.contributor.author | Tokat, Ekin | - |
dc.date.accessioned | 2021-09-11T15:43:22Z | - |
dc.date.available | 2021-09-11T15:43:22Z | - |
dc.date.issued | 2009 | en_US |
dc.identifier.issn | 0140-9883 | - |
dc.identifier.issn | 1873-6181 | - |
dc.identifier.uri | https://doi.org/10.1016/j.eneco.2008.07.008 | - |
dc.identifier.uri | https://hdl.handle.net/20.500.11851/6737 | - |
dc.description.abstract | In oil markets, the crack spread refers to the crude-product price relationship. Refiners are major participants in oil markets and they are primarily exposed to the crack spread. In other words. refiner activity is substantially driven by the objective of protecting the crack spread. Moreover, oil consumers are active participants in the oil hedging market and they are frequently exposed to the crack spread. From another perspective, hedge funds are heavily using crack spread to speculate in oil markets. Based on the high volume of crack spread futures trading in oil markets, the question we want to raise is whether the crack spread futures can be a good predictor of oil price movements. We investigated first whether there is a causal relationship between the crack spread futures and the spot oil markets in a vector error correction framework. We found the causal impact of crack spread futures on spot oil market both in the long- and the short-run after April 2003 where we detected a structural break in the model. To examine the forecasting performance, we use the random walk model (RWM) as a benchmark, and we also evaluate the forecasting power of crack spread futures against the crude oil futures. The results showed that (a) both the crack spread futures and the crude oil futures outperformed the RWM: and (b) the crack spread futures are almost as good as the crude oil futures in predicting the movements in spot oil markets. (C) 2008 Elsevier B.V. All rights reserved. | en_US |
dc.language.iso | en | en_US |
dc.publisher | Elsevier | en_US |
dc.relation.ispartof | Energy Economics | en_US |
dc.rights | info:eu-repo/semantics/closedAccess | en_US |
dc.subject | Oil prices | en_US |
dc.subject | Crack spread | en_US |
dc.subject | Vector error correction | en_US |
dc.title | Forecasting Oil Price Movements With Crack Spread Futures | en_US |
dc.type | Article | en_US |
dc.department | Faculties, Faculty of Economics and Administrative Sciences, Department of Management | en_US |
dc.department | Fakülteler, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümü | tr_TR |
dc.identifier.volume | 31 | en_US |
dc.identifier.issue | 1 | en_US |
dc.identifier.startpage | 85 | en_US |
dc.identifier.endpage | 90 | en_US |
dc.identifier.wos | WOS:000262565400010 | en_US |
dc.identifier.scopus | 2-s2.0-56949091216 | en_US |
dc.institutionauthor | Murat, Atılım | - |
dc.institutionauthor | Tokat, Ekin | - |
dc.identifier.doi | 10.1016/j.eneco.2008.07.008 | - |
dc.relation.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
dc.identifier.scopusquality | Q1 | - |
item.openairetype | Article | - |
item.languageiso639-1 | en | - |
item.grantfulltext | none | - |
item.fulltext | No Fulltext | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.cerifentitytype | Publications | - |
crisitem.author.dept | 04.03. Department of Management | - |
crisitem.author.dept | 04.03. Department of Management | - |
Appears in Collections: | İşletme Bölümü / Department of Management Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection |
CORE Recommender
SCOPUSTM
Citations
76
checked on Dec 21, 2024
WEB OF SCIENCETM
Citations
96
checked on Oct 5, 2024
Page view(s)
200
checked on Dec 23, 2024
Google ScholarTM
Check
Altmetric
Items in GCRIS Repository are protected by copyright, with all rights reserved, unless otherwise indicated.