Evaluating robust determinants of the WTI/Brent oil price differential: A dynamic model averaging analysis

Filippidis, M., Filis, G., Magkonis, G. and Tzouvanas, P. 2023. Evaluating robust determinants of the WTI/Brent oil price differential: A dynamic model averaging analysis. Journal of Futures Markets. 43 (6), pp. 807-825. https://doi.org/10.1002/fut.22414

TitleEvaluating robust determinants of the WTI/Brent oil price differential: A dynamic model averaging analysis
TypeJournal article
AuthorsFilippidis, M., Filis, G., Magkonis, G. and Tzouvanas, P.
Abstract

We investigate the robust determinants of the West Texas Intermediate/Brent oil price differential by employing a time-varying framework. To achieve this, a dynamic model averaging framework is used, considering monthly data over the period 1994:1–2021:3. Our results suggest that the convenience yield, the global economic activity index, and the government bond yields act as the main factors that exercise a persistent and significant impact, for the largest part of the study period, although at different magnitude. More importantly, though, we show that at different time periods there are additional factors that exercise a significant impact on the oil price differential, such as refining constraints, stock market volatility, trading volume, and geopolitical risk. Thus, unless a dynamic modeling framework is employed, the full spectrum of the related effects cannot be revealed. A series of tests confirm the robustness of our findings. Several policy implications of these results are also discussed.

JournalJournal of Futures Markets
Journal citation43 (6), pp. 807-825
ISSN0270-7314
1096-9934
Year2023
PublisherWiley-Liss Inc
Digital Object Identifier (DOI)https://doi.org/10.1002/fut.22414
Publication dates
PublishedJun 2023

Related outputs

Geopolitical risk and energy prices
Filippidis, M. and Filis, G. 2025. Forthcoming. Geopolitical risk and energy prices. in: Apergis, N. (ed.) Encyclopedia of Monetary Policy, Financial Markets and Banking Elsevier.

Global determinants of commodity prices: New evidence
Filippidis, M., Jackson, K., Magkonis, G. and Beck, K. 2024. Global determinants of commodity prices: New evidence. 2024 International Conference in Finance, Accounting and Banking. Southampton, UK 06 - 08 Sep 2024

Evaluating Oil Price Forecasts: A Meta-analysis
Filippidis, M., Filis, G. and Magkonis, G. 2024. Evaluating Oil Price Forecasts: A Meta-analysis. The Energy Journal. 45 (2), pp. 71-89. https://doi.org/10.5547/01956574.45.2.mfil

Systemic Risk and Oil Price Volatility Shocks
Filippidis, M., Tzouvanas, P., Filis, G., Chatziantoniou, I. and Colac, G. 2023. Systemic Risk and Oil Price Volatility Shocks . 9th International Symposium on Environment and Energy Finance Issues (ISEFI). IPAG Business School and the Paris Dauphine University, France 25 - 26 May 2023

Systemic Risk and Oil Price Volatility Shocks
Filippidis, M., Tzouvanas, P., Filis, G., Chatziantoniou, I. and Colak, G. 2023. Systemic Risk and Oil Price Volatility Shocks . International Finance and Banking Society (IFABS), Oxford (2023). Oxford 24 - 26 Jul 2023

Systemic Risk and Oil Price Volatility Shocks
Filippidis, M., Tzouvanas, P., Filis, G., Chatziantoniou, I. and Colak, G. 2023. Systemic Risk and Oil Price Volatility Shocks . The International Conference on Sustainability, Environment, and Social Transition in Economics and Finance (SESTEF). Southampton Business School, University of Southampton 14 - 16 Dec 2023

Evaluating oil price forecasts: A meta-analysis
Filippidis, M., Filis, G. and Magkonis, G. 2022. Evaluating oil price forecasts: A meta-analysis. 11th International Research Meeting in Business and Management (IRMBAM). IPAG Business School, online 07 - 09 Jul 2022

Evaluating oil price forecasts: A meta-analysis
Filippidis, M., Filis, G. and Magkonis, G. 2022. Evaluating oil price forecasts: A meta-analysis. 8th International Symposium on Environment and Energy Finance Issues (ISEFI). IPAG Business School and the Paris Dauphine University, France 23 - 24 May 2022

A closer look into the global determinants of oil price volatility
Filippidis, M., Chatziantoniou, I., Filis, G. and Gabauer, D. 2021. A closer look into the global determinants of oil price volatility. Energy Economics. 95. https://doi.org/10.1016/j.eneco.2020.105092

Energy poverty through the lens of the Energy-Environmental Kuznets Curve Hypothesis
Filippidis, M., Chatziantoniou, I and Tzouvanas, P. 2021. Energy poverty through the lens of the Energy-Environmental Kuznets Curve Hypothesis. Energy Economics. 100. https://doi.org/10.1016/j.eneco.2021.105328

Oil price shocks and EMU sovereign yield spreads
Filippidis, M., Filis, G. and Kizys, R. 2020. Oil price shocks and EMU sovereign yield spreads. Energy Economics. 86. https://doi.org/10.1016/j.eneco.2019.104656

Oil price shocks and EMU sovereign yield spreads
Filippidis, M., Filis, G. and Kizys, R. 2019. Oil price shocks and EMU sovereign yield spreads. 10th International Research Meeting in Business and Management (IRMBAM). IPAG Business School, Nice Campus, France 08 - 10 Jul 2019

Oil price shocks and EMU sovereign yield spreads
Filippidis, M., Filis, G. and Renatas, K. 2019. Oil price shocks and EMU sovereign yield spreads. 7th International Symposium on Environment and Energy Finance Issues (ISEFI). IPAG Business School and the Paris Dauphine University, Paris, France 23 - 25 May 2019

The WTI/Brent oil futures price differential and the globalisation-regionalisation hypothesis
Filippidis, M., Kizys, R., Filis, G. and Floros, C. 2019. The WTI/Brent oil futures price differential and the globalisation-regionalisation hypothesis. International Journal of Banking, Accounting and Finance. 10 (1), pp. 3-38. https://doi.org/10.1504/IJBAAF.2019.099309

Financial effects of precautionary demand for oil
Filippidis, M., Filis, G. and Kizys, R. 2018. Financial effects of precautionary demand for oil. 16th INFINITI Conference on International Finance. Poznań University of Economics and Business, Poland 11 - 12 Jun 2018

Determinants of the WTI/Brent Oil Futures Differential
Filippidis, M., Filis, G., Floros, C. and Kizys, R. 2016. Determinants of the WTI/Brent Oil Futures Differential. Portsmouth (UK)-Fordham (USA) Conference on Banking and Finance. University of Portsmouth, United Kingdom 24 - 25 Sep 2016

Determinants of the WTI/Brent Oil Futures Differential
Filippidis, M., Filis, G., Floros, C. and Kizys, R. 2015. Determinants of the WTI/Brent Oil Futures Differential. 13th INFINITI Conference on International Finance. University of Ljubljana (Faculty of Economics), Slovenia 08 - 09 Jun 2015

Permalink - https://westminsterresearch.westminster.ac.uk/item/w5w64/evaluating-robust-determinants-of-the-wti-brent-oil-price-differential-a-dynamic-model-averaging-analysis


Share this

Usage statistics

82 total views
0 total downloads
These values cover views and downloads from WestminsterResearch and are for the period from September 2nd 2018, when this repository was created.