The dynamic relationships between paper petroleum refining and physical trade of crude oil into the United States

摘要

This article examines the relationship between refinery marginstraded on paper using petroleum futures (the paper refinery) and thephysical trade of crude oil into the US. Computations of a 3:2:1crack spread were constructed using daily observations of second- andthird-nearby unleaded gasoline and heating oil futures contractstraded on the New York Mercantile Exchange (NYMEX) and spot Brentcrude oil prices. The crack spread represents the margin between thecost of crude oil feed stock today and the value of the productsproduced by a refinery in the future. Unit root tests on each of thetime series found crack spreads to be stationary while crude oilimports were found to be non-stationary. As the two series were foundto be integrated of different order, cointegration analysis of thetwo series was not deemed appropriate. Instead, linear relation-ships between crack spreads and imports were examined using causalitytests. It was found that the 2-month 3:2:1 crack spreadGranger-causes crude oil imports and that this causality isunidirectional. The significance of these findings lies in the factthat other industries like tanker shipping derive their demand fromthe demand for, and trade in, petroleum. Crack spreads, therefore,can provide a leading indicator for short term developments in tankerdemand. For a chartering manager who has ships on the spot market,crack spreads can help him/her anticipate demand developments andinfluence vessel deployment and chartering decisions.