Journal #J-07/2003
Relationships in the Petroleum Market: An Analysis of Crude Oil and Refined Product Prices
Frank Asche(1), Ole Gjølberg & Teresa Völker
Department of Economics & Social Sciences Agricultural University of Norway PO Box 5033, N-1432 Ås, Norway http://www.nlh.no/ior/ e-mail: frank.asche@tn.his.no

1) Frank Asche, Centre of Fishery Economics, Norwegian School of Business Administration and Stavanger University College,
e-mail: frank.asche@tn.his.no

Asche, F., O. Gjølberg & T. Vølker (2003): "Relationships in the Petroleum Market: An Analysis of Crude Oil and Refined Product Prices", Energy Economics, 25(2):289-301.

Abstract:
In this paper the relationships between crude oil and refined product prices are investigated in a multivariate framework.This allows us to test several (partly competing )assumptions of earlier studies.In particular,we find that the crude oil price is weakly exogenous and that the spread is constant in some but not all relationships.Moreover,the multivariate analysis shows that the link between crude oil prices and several refined product prices implies market integration for these refined products.This is an example of supply driven market integration and producers will change the output mix in response to price changes.

Key words: Oil prices;Value chain;Market integration;Cointegration

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