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dc.contributor.authorScheitrum DPen
dc.contributor.authorCarter CAen
dc.contributor.authorRevoredo-Giha Cen
dc.date.accessioned2018-05-02T08:46:50Z
dc.date.available2018-05-02T08:46:50Z
dc.date.issued2018
dc.identifier.citation72
dc.identifier.urihttps://doi.org/10.1016/j.eneco.2018.04.039
dc.identifier.urihttp://hdl.handle.net/11262/11435
dc.description.abstractWTI and Brent crude oil futures are competing pricing benchmarks and they jockey for the number one position as the leading futures market. The price spread between WTI and Brent is also an important benchmark itself as the spread affects international trade in oil, refiner margins, and the price of refined products globally. In addition, the shapes of the WTI and Brent futures curves reflect supply and demand fundamentals in the U.S. versus the world market, respectively. On the analysis of the relationship between the two futures prices, we identify a structural break in the WTI–Brent price spread in January 2011 and a break in the corresponding shapes of the futures curves around the same time. The structural break was a consequence of a dramatic rise in U.S. production due to fracking, a series of supply disruptions in Europe, binding storage constraints, and the U.S. crude oil export ban. These events are studied in the context of a simulation model of world oil prices. We reproduce the stylized facts of the oil market and conclude that the 2011 break in pricing structure was consistent with standard commodity storage theory.en
dc.description.sponsorshipScottish Government RESAS Strategic Research Programme (RD3.3.1)en
dc.language.isoenen
dc.relation.isformatof14842en
dc.relation.ispartofEnergy Economicsen
dc.rightsCopyright © 2018 Elsevier Ltd. All rights reserved. This manuscript version is made available after the end of the 18 month embargo period under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectCrude oil futuresen
dc.subjectCommodity storageen
dc.subjectWTIen
dc.subjectBrenten
dc.subjectCompetitive storage modelen
dc.titleWTI and Brent futures pricing structureen
dc.typeArticleen
dc.description.versionAccepted manuscript
dc.extent.pageNumbers462-469
rioxxterms.publicationdate2018-04-26
rioxxterms.typeJournal Article/Reviewen
dcterms.dateAccepted2018-04-23
refterms.accessExceptionpublicationExceedsMaxEmbargoen
refterms.dateDeposit2018-05-02
refterms.dateEmbargoEnd2019-10-26
refterms.dateFreeToDownload2019-10-26
refterms.dateFreeToRead2019-10-26
refterms.dateToSearch2019-10-26
refterms.depositExceptionNAen
refterms.panelUnspecifieden
refterms.technicalExceptionNAen
refterms.versionAMen


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