A consensus that the world oil market is unified begs the question, where do innovations in oil prices enter the market? Here we investigate where changes in the price of crude oil originate and how they spread by examining causal relationships among prices for crude oils from North America,...

We extend the analysis of causal relations between trader positions and oil prices and the process of price discovery by estimating a cointegrating vector autoregression (CVAR) model that expands the cash-and-carry relation between spot and futures prices to quantify long- and short-run...

We postulate a direct role for energy prices in the 2008 financial crisis. Rising energy prices constrain consumer budgets and thereby raise mortgage delinquency rates. This hypothesis is tested by estimating a quarterly cointegrating vector autoregressive (CVAR) model that seeks to quantify the...

We examine the relation among daily returns to crude oil prices, equity prices, and commodity markets by modifying previous efforts in two important ways; expanding the model to include the equity price for an oil-producing firm, ConocoPhillips, which ameliorates omitted variable bias and...

We test the hypothesis that real oil prices are determined in part by refinery capacity, non-linearities in supply conditions, and/or expectations and that observed changes in these variables can account for the rise in prices between 2004 and 2006. Results indicate that the refining sector...