Volatility spillovers between WTI and Brent spot crude oil prices: an analysis of granger causality in variance patterns over time

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dc.authorid0000-0002-8155-1597
dc.authorid0000-0002-8155-1597
dc.authorid0000-0001-7624-7294
dc.authorscopusid9533180500
dc.authorscopusid26653963900
dc.authorscopusid26654169500
dc.authorwosidCevik, Emrah/K-1967-2019
dc.authorwosidCevik, Emrah/AAE-7169-2022
dc.authorwosidAtukeren, Erdal/J-7676-2019
dc.contributor.authorAtukeren, Erdal
dc.contributor.authorÇevik, Emrah İsmail
dc.contributor.authorKorkmaz, Turhan
dc.date.accessioned2022-05-11T14:33:33Z
dc.date.available2022-05-11T14:33:33Z
dc.date.issued2021
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü
dc.description.abstractThere has been an increase in price volatility in oil prices during and since the global financial crisis (GFC). This study investigates the Granger causality patterns in volatility spillovers between West Texas International (WTI) and Brent crude oil spot prices using daily data. We use Hafner and Herwartz's (2006) test and employ a rolling sample approach to investigate the changes in the dynamics of volatility spillovers between WTI and Brent oil prices over time. Volatility spillovers from Brent to WTI prices are found to be more pronounced at the beginning of the analysis period, around the GFC, and more recently in 2020. Between 2015 and 2019, the direction of volatility spillovers runs unidirectionally from WTI to Brent oil prices. In 2020, however, a Granger-causal feedback relation between the volatility of WTI and Brent crude oil prices is again detected. This is due to the uncertainty surrounding how the COVID-19 pandemic will evolve and how long the economies and financial markets will be affected. In this uncertain environment, commodities markets participants could be reacting to prices and volatility signals on both WTI and Brent, leading to the detection of a feedback relation.
dc.identifier.doi10.1016/j.ribaf.2021.101385
dc.identifier.issn0275-5319
dc.identifier.issn1878-3384
dc.identifier.scopus2-s2.0-85099844938
dc.identifier.scopusqualityQ1
dc.identifier.urihttps://doi.org/10.1016/j.ribaf.2021.101385
dc.identifier.urihttps://hdl.handle.net/20.500.11776/7801
dc.identifier.volume56
dc.identifier.wosWOS:000635384100011
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorÇevik, Emrah İsmail
dc.language.isoen
dc.publisherElsevier
dc.relation.ispartofResearch in International Business and Finance
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectOil prices
dc.subjectVolatility spillovers
dc.subjectGranger-causality
dc.subjectEnergy economics
dc.titleVolatility spillovers between WTI and Brent spot crude oil prices: an analysis of granger causality in variance patterns over time
dc.typeArticle

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