Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/233646 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Futures Markets [ISSN:] 1096-9934 [Volume:] 41 [Issue:] 5 [Publisher:] Wiley [Place:] Hoboken, NJ [Year:] 2021 [Pages:] 736-757
Publisher: 
Wiley, Hoboken, NJ
Abstract: 
Using autoregressive distributed lag modeling and structural break testing, we explore the drivers of the oil price spread between West Texas Intermediate and Brent in a data set from 1995 to 2019. We find a major structural break in December 2010 and minor breaks in 2005 and 2012. Important spread determinants are the convenience yield, as a proxy for crude oil inventories, the trading activity in crude oil paper markets, shipping costs, as well as the stock market development in the United States and Europe. After the break in 2010, the paper market activity, open interest, and shipping costs have become more important spread drivers.
Subjects: 
Brent
convenience yield
crude oil
structural break
West Texas Intermediate
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
Document Version: 
Published Version

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