Short?Term and Long?Term Relationships Between Prices of Imported Oil and Fuel Products in the U. S.

摘要

In this study, we analyzed a system of five monthly time series integrated iI(1)/i: average price of crude oil imported to the U.S. from OPEC countries (iOpec/i), imported oil price from other than OPEC countries (iNonOpec/i) in USD per barrel, average price of regular gasoline in the U.S. (iRegular/i), premium quality gasoline price (iPremium/i) and kerosene price (iKerosene/i) in U.S. cents per gallon. Cointegration was established by EG test and the series were analyzed by VECM model with lag selected via BIC criterion. Cointegration rank was determined by the Johansen procedure. According to VECM coefficients, prices of oil from OPEC countries and beyond OPEC exert influence upon all commodity prices in the system, but in a contradictory manner. Responses to innovation shocks in iOpec/i and iNonOpec/i stabilized within 8 to 10 months upon a nonzero shift and further became permanent. Innovation shock in both types of gasoline and iKerosene/i had only short-term significant impact upon the system. Forecast error variance in all variables is explained mainly by variation in oil prices, especially iOpec/i, which persists with increased horizon. For a short horizon ih/i = 1, FEVDs in gasoline and kerosene prices are primarily made of variation in the respective fuel prices.