Topics in Middle Eastern and North African Economies
The Connectedness in the World Petroleum Futures Markets Using a Quantile VAR Approach
Document Type
Article
Publication Date
9-1-2022
Abstract
This paper investigates how the six major petroleum futures Oman crude, NYMEX RBOB gasoline, ICE low sulphur gasoil, ICE Brent crude, NYMEX light sweet crude and NYMEX NY Harbor ULSD (the new standard for highway diesel)) traded at three global key commodity exchanges are connected, using the novel Quantile VAR spillover approach. The study finds high degree of re - turn connectedness between these markets, which increases as the size of the return shock in - creases at the 5th and 95th quantiles relative to the median 50th quantile. The global benchmark Brent crude futures traded at the Intercontinental Exchange (ICE) emerges as the lead petroleum futures irrespective of market conditions. NYMEX_RBOB_gasoline_futures emerges as a major receiver of return shocks from other oil futures market. The findings are validated in a time- varying framework, and robustness is also cross validated using the LASSO VAR spillover anal - ysis. Policy implications of the findings are also discussed.
Journal Title
Journal of Commodity Markets
Publisher
Elsevier
Volume
27
Recommended Citation
Jena, Sangram Keshari; Tiwari, Aviral Kumar; Abakah, Emmanuel Joel Aikins; and Hammoudeh, Shawkat, "The Connectedness in the World Petroleum Futures Markets Using a Quantile VAR Approach". Topics in Middle Eastern and North African Economies, electronic journal, 27, Elsevier, 2022, http://www.luc.edu/orgs/meea/
Creative Commons License
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Copyright Statement
© Elsevier B.V., 2021.
Comments
Presentation of the articles in the Topics in Middle Eastern and North African Economies was made possible by a limited license granted to Loyola University Chicago and Middle East Economics Association from the authors who have retained all copyrights in the articles.