Brent Crude

About: Brent Crude is a research topic. Over the lifetime, 548 publications have been published within this topic receiving 9879 citations.

An Analysis of the Relationship between Crude Oil Prices, Current Account Deficit and Exchange Rates: Turkish Experiment

Abstract: In this study, the effect of raw oil prices and exchange rates on current account deficit of the Turkish Economy has been examined by investigating the short and long run relationship between the current account deficit of the Turkish Economy, raw oil prices (Brent oil prices) and exchange rates (USD/TRY) The Monthly Data between December 1991 and January 2016 were used in the study The relationships between the variables were tested with the VAR (Vector Auto Regressive) Model None of the series was found stable after the unit root tests, but it was observed that all the variables became stable when their first differences were taken Firstly, an unrestricted VAR model was built to determine the long term relationship between the variables After the long term relationship was found between the variables, the VECM (Vector Error Correction) Model was estimated in order to determine the short term relationship A mutual granger causality relationship is detected between crude oil prices and current account deficit variables No causality relationship is found between the other variables

Trading volume and return relationship in the crude oil futures markets

Abstract: Purpose – The purpose of this paper is to examine the relationship between trading volume and returns in the West Texas Intermediate (WTI) and Brent crude oil futures markets. In so doing, the paper addresses two important issues. First, whether there is a positive relationship between returns and trading volume in the crude oil futures markets. Second, whether information regarding trading volume contributes to forecasting the magnitude of return in the markets, an important issue because the ability of trading volume to predict returns imply market inefficiency. Design/methodology/approach – The paper used daily closing futures price and their corresponding trading volumes for WTI and Brent crude oil markets during the sample period January 2008 to May 2011. Both the log volume and the unexpected component of the detrended volume are used in the analysis in other to have robust alternative conclusion. The generalized method of moments (GMM) approach is used to examine the contemporaneous relationship be...

Markov Regime Switching GARCH Model and Volatility Modeling for Oil Returns

Abstract: In conjunction with the recent alternative models, a wide literature has been established for volatility modeling in finance theory. In this study, we examine return volatility of Brent oil returns through GARCH, EGARCH, GJR-GARCH and MRS-GARCH models. As a preliminary test concerning the potential regimes, first, we use modified ICSS test in order to examine the existence of breaks in the variance of return series. All volatility models are formed under normal, GED and student- t distributions. According to the AIC and BIC values, MRS-GARCH model outperforms all other alternative models. Another interesting result is the failure of the models that formed under normal distribution. Keywords: Markov Regime Switching GARCH; Oil Volatility; Variance Breaks JEL Classifications: C14; C22; C58; G14