Threshold cointegration analysis of crude oil benchmarks

Shawkat M. Hammoudeh, Bradley T. Ewing, Mark A. Thompson

Research output: Contribution to specialist publicationArticle

76 Scopus citations


The paper examines the dynamic relationship between pairs of four oil benchmark prices (i.e., West Texas Intermediate, Brent, Dubai, and Maya), which have different physical properties and locations. The results indicate that there is a long-run equilibrium relationship between different benchmarks, regardless of their properties and locations. More importantly, there is asymmetry in the adjustment process that is specifically modeled and implications are discussed.

Original languageEnglish
Number of pages17
Specialist publicationEnergy Journal
StatePublished - 2008


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