Causality patterns for Brent, WTI, and Argus oil prices

ABSTRACT

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.

KEYWORDS:

• Crude oil prices
• nonparametric
• Granger causality
• nonlinearity

JEL CLASSIFICATION:

• C14
• C22
• C30
• C40
• Q43
• Q49

Acknowledgments

Fullerton received financial support for this research from El Paso Water Utilities, City of El Paso Office of Management & Budget, UTEP Hunt Institute for Global Competitiveness, and UTEP Center for the Study of Western Hemispheric Trade.

Disclosure statement

No potential conflict of interest was reported by the authors.

Additional information

Funding

Fullerton received financial support for this research from El Paso Water Utilities, City of El Paso Office of Management & Budget, UTEP Hunt Institute for Global Competitiveness and UTEP Center for the Study of Western Hemispheric Trade.