Is there a structural change in the persistence of WTI-Brent oil price spreads in the post-2010 period?

摘要

In recent years, WTI oil has traded at a sizable discount against Brent oil, and this divergence has enlarged the price spreads. We investigate whether there has been a structural change in the persistence of WTI-Brent crude oil price spreads in recent years, i.e., a change from a stationary to a non-stationary time series. The CUSUM of the squares-based test of Leybourne et al. (2007b) is performed in which the breakpoint is not pre-specified, and the estimated breakpoint is found to have occurred in 2010. We conduct various unit root tests for the price spreads in two sub-samples, defined as before and after the estimated breakpoint, and find empirical evidence supporting our persistence change hypothesis. Two alternative persistence change tests are also performed to make our conclusion more robust. (C) 2015 Elsevier B.V. All rights reserved.