Title
Causality patterns for Brent, WTI, and Argus oil prices
Publication Date
8-16-2017
Publication Name
Applied Economics Letters
Volume
24
Issue
14
First Page
982
Last Page
986
Source Full Text URL
https://doi.org/10.1080/13504851.2016.1245830
Document Type
Article
DOI
10.1080/13504851.2016.1245830
Abstract
© 2016 Informa UK Limited, trading as Taylor & Francis Group. Causality patterns are analysed for daily Brent, West Texas Intermediate (WTI), and Argus Sour Crude Index (Argus) oil prices, Argus is the reference price for exports from Saudi Arabia, Kuwait and Iraq. Nonparametric Granger causality testing uncovers bi-directional causal links between Brent and WTI prices at multiple lags. Unidirectional causality from both Brent to Argus and WTI to Argus is also documented. If the current Saudi Arabia attempt to increase market share is successful, variations in Argus prices may start preceding movements in Brent and WTI, also.