Assessing the Cross-Commodity Relationships in Energy Markets

Authors

  • Julien Chevallier IPAG Business School, IPAG Lab, 184 Boulevard Saint-Germain, 75006 Paris, France
  • Florian Ielpo Lombard Odier Asset Management , 6 avenue des Morgines, 1213 Petit-Lancy, Switzerland

DOI:

https://doi.org/10.15173/esr.v20i2.548

Keywords:

Energy Futures, Cointegration, Cross-Commodity Relationship, Structural Break,

Abstract

This article reviews cointegration analyses in energy markets (e.g. WTI, Brent, Gasoil, Heating Oil, Natural Gas) during 1993-2011 using daily data. The main focus lies in the determination of long-term relationships between these specific energy commodities, with the inclusion of structural breaks. The results globally point out the existence of shared trends among energy markets. The crude oil price (with the WTI as its benchmark) seems to be the leader in the price discovery process, since most of the time it triggers the adjustement towards the long term stationary equilibrium between the variables in the cointegration system.

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Published

2014-03-19

Issue

Vol. 20 No. 2 (2013)

Section

Articles

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