The causes of stage expansion of WTI/Brent spread

Abstract Historically, the price of WTI crude oil futures has long been higher than that of Brent by $2/barrel, but the spread between 2011 and 2015 was reversed and expanded to $24/barrel. In order to analyze the difference between two crude oil price variables with the same trend and phase separat...

Descripción completa

Guardado en:

Detalles Bibliográficos
Autores principales:	Hong-Zhi Tian, Wei-Di Lai
Formato:	article
Lenguaje:	EN
Publicado:	KeAi Communications Co., Ltd. 2019
Materias:	WTI Brent Cushing crude oil inventory North Sea oil field Shale oil Science Q Petrology QE420-499
Acceso en línea:	https://doaj.org/article/f1b93dfda9da4fdf804b888b3debec89
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

id	oai:doaj.org-article:f1b93dfda9da4fdf804b888b3debec89
record_format	dspace
spelling	oai:doaj.org-article:f1b93dfda9da4fdf804b888b3debec892021-12-02T11:16:26ZThe causes of stage expansion of WTI/Brent spread10.1007/s12182-019-00379-z1672-51071995-8226https://doaj.org/article/f1b93dfda9da4fdf804b888b3debec892019-10-01T00:00:00Zhttp://link.springer.com/article/10.1007/s12182-019-00379-zhttps://doaj.org/toc/1672-5107https://doaj.org/toc/1995-8226Abstract Historically, the price of WTI crude oil futures has long been higher than that of Brent by $2/barrel, but the spread between 2011 and 2015 was reversed and expanded to $24/barrel. In order to analyze the difference between two crude oil price variables with the same trend and phase separation using one method of analysis, this paper constructs a dynamic comparative analysis framework using the method of time-point decomposition of fluctuation factors to determine the different reasons and amplitudes for monthly fluctuations in the two price systems in the sample interval. The study found that the sensitive response of Brent futures price indicators to the world’s crude oil supply resulting from the depletion of oil in the North Sea oil field prompted it to rise in 2011–2015. For the WTI price system, due to the increase in the US shale oil production after 2008 and the restrictions in domestic pipeline transportation capacity, the increase in the Cushing crude oil inventory caused downward pressure on the WTI price. With the lifting of the US crude oil export ban in December 2015, arbitrage space disappeared, and the spread between the two gradually narrowed.Hong-Zhi TianWei-Di LaiKeAi Communications Co., Ltd.articleWTIBrentCushing crude oil inventoryNorth Sea oil fieldShale oilScienceQPetrologyQE420-499ENPetroleum Science, Vol 16, Iss 6, Pp 1493-1505 (2019)
institution	DOAJ
collection	DOAJ
language	EN
topic	WTI Brent Cushing crude oil inventory North Sea oil field Shale oil Science Q Petrology QE420-499
spellingShingle	WTI Brent Cushing crude oil inventory North Sea oil field Shale oil Science Q Petrology QE420-499 Hong-Zhi Tian Wei-Di Lai The causes of stage expansion of WTI/Brent spread
description	Abstract Historically, the price of WTI crude oil futures has long been higher than that of Brent by $2/barrel, but the spread between 2011 and 2015 was reversed and expanded to $24/barrel. In order to analyze the difference between two crude oil price variables with the same trend and phase separation using one method of analysis, this paper constructs a dynamic comparative analysis framework using the method of time-point decomposition of fluctuation factors to determine the different reasons and amplitudes for monthly fluctuations in the two price systems in the sample interval. The study found that the sensitive response of Brent futures price indicators to the world’s crude oil supply resulting from the depletion of oil in the North Sea oil field prompted it to rise in 2011–2015. For the WTI price system, due to the increase in the US shale oil production after 2008 and the restrictions in domestic pipeline transportation capacity, the increase in the Cushing crude oil inventory caused downward pressure on the WTI price. With the lifting of the US crude oil export ban in December 2015, arbitrage space disappeared, and the spread between the two gradually narrowed.
format	article
author	Hong-Zhi Tian Wei-Di Lai
author_facet	Hong-Zhi Tian Wei-Di Lai
author_sort	Hong-Zhi Tian
title	The causes of stage expansion of WTI/Brent spread
title_short	The causes of stage expansion of WTI/Brent spread
title_full	The causes of stage expansion of WTI/Brent spread
title_fullStr	The causes of stage expansion of WTI/Brent spread
title_full_unstemmed	The causes of stage expansion of WTI/Brent spread
title_sort	causes of stage expansion of wti/brent spread
publisher	KeAi Communications Co., Ltd.
publishDate	2019
url	https://doaj.org/article/f1b93dfda9da4fdf804b888b3debec89
work_keys_str_mv	AT hongzhitian thecausesofstageexpansionofwtibrentspread AT weidilai thecausesofstageexpansionofwtibrentspread AT hongzhitian causesofstageexpansionofwtibrentspread AT weidilai causesofstageexpansionofwtibrentspread
_version_	1718396090763444224

The causes of stage expansion of WTI/Brent spread

Ejemplares similares