Open Access Open Access  Restricted Access Subscription Access

Assessing the Cross-Commodity Relationships in Energy Markets

Julien Chevallier, Florian Ielpo

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.


Keywords


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

Full Text:

PDF


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


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