Table 3 Positive shocks on market integration
From: How do supply or demand shocks affect the US oil market?
Refined product | \(\varvec{WTI}{\mathbf{ + \Rightarrow }} \varvec{Deriv}{\mathbf{ + }}\) | \(\varvec{Deriv}{\mathbf{ + \Rightarrow }} \varvec{WTI}\mathbf{+}\) | ||||||
|---|---|---|---|---|---|---|---|---|
Positive supply-driven | Positive demand-driven | |||||||
Test statistic | Bootstrap critical values | Test statistic | Bootstrap critical values | |||||
1% | 5% | 10% | 1% | 5% | 10% | |||
Conv. Gasol. NY | 2.908 | 10.413 | 6.054 | 4.541 | 1.281 | 9.861 | 6.171 | 4.654 |
RBOB | 3.414 | 10.800 | 6.627 | 4.815 | 7.668** | 9.250 | 5.925 | 4.661 |
Heating Oil | 0.198 | 12.730 | 5.987 | 4.489 | 0.364 | 11.620 | 6.214 | 4.551 |
Diesel NY | 0.489 | 13.257 | 5.803 | 4.468 | 0.632 | 11.925 | 6.118 | 4.519 |
Kerosene | 8.852** | 10.800 | 5.800 | 4.506 | 1.892 | 11.198 | 6.496 | 4.581 |