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Price dynamics under the presence of threshold effects in WTI crude oil markets
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- 한국재무학회 바로가기
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- 한국재무학회 학술대회 바로가기
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- 통권
- 2011년 5개 학회 공동학술연구발표회 (2011.05)바로가기
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- 페이지
- pp.2007-2036
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- 저자
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- 언어
- 영어(ENG)
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- URL
- https://www.earticle.net/Article/A243006
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7,000원
원문정보
초록
- 영어
- We analyzed long-run adjustment process to equilibrium and short-run dynamics with WTI spot and futures prices using bivariate 3-regime TVECM. After dividing the entire sample period into 5 sub-samples, we applied this model to each sub-sample. This allows us to figure out the differentiable effects of market conditions which can vary by sub-samples and regimes, on investors' behaviors. The estimation results showed quite interesting points. First, the middle regimes of all 5 sub-samples were not targeted by investors, so we could find their activities only in lower and/or upper regimes. Second, we can make 3 different groups with 5 sub-samples. Period 1 showed brisk movements in futures markets under the price information leadership of spot markets and relatively longer adjustment time compared to the other 4 periods. Period 2, 3, and 4 showed the opposite phenomena to period 1 probably caused by sporadic big shocks on world economy. Period 5 showed mixed results in lower and upper regimes. We could analyze quite differentiable and opposite adjustments according to regimes in this period even under the dominated contango condition, which could be regarded as the precious harvest of employing a bivariate 3-regime TVECM in this paper.
목차
Abstract
Ⅰ. Introduction
Ⅱ. Research Methodologies
1. The Detection of Structural Change Points
2. Nonlinearity Test(BDS Test
3. Threshold Vector Error Correction Models(TVECM)
4. Cointegration test based on the TVECM representation
Ⅲ. Data
Ⅳ. Empirical Analysis
1. The detection of structural break points
2. Descriptive statistics for 5 sub-samples
3. Stationarity test
4. Nonlinearity test
5. The cointegration test based on TVECM: Seo(2006)
6. The application of a bivariate 3-regime TVECM
Ⅴ. Conclusion
References
키워드
Threshold Vector Error Correction Model Nonlinearity Structural Breaks Regimes WTI Crude Oil Spot and Futures Prices저자
간행물 정보
발행기관
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- 발행기관명
- 한국재무학회 [The Korean Finance Association]
- 설립연도
- 1988
- 분야
- 사회과학>경영학
- 소개
- 본 회는 재무학 및 이와 관련되는 분야를 발전시키며 회원 상호간의 친목 도모를 목적으로 한다.
간행물
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- 간행물명
- 한국재무학회 학술대회
- 간기
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- 수록기간
- 2006~2024
- 십진분류
- KDC 325 DDC 330
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