Table 4 Negative shocks on market integration
From: How do supply or demand shocks affect the US oil market?
Refined product | \(\varvec{WTI}{\mathbf{ - \Rightarrow }} \varvec{Deriv}{\mathbf{ - }}\) | \(\varvec{Deriv}{\mathbf{ - \Rightarrow }} \varvec{WTI}\mathbf{-}\) | ||||||
|---|---|---|---|---|---|---|---|---|
Negative supply-driven | Negative demand-driven | |||||||
Test statistic | Bootstrap critical values | Test statistic | Bootstrap critical values | |||||
1% | 5% | 10% | 1% | 5% | 10% | |||
Conv. Gasol. NY | 5.984* | 10.617 | 6.446 | 5.073 | 16.197*** | 9.230 | 6.075 | 4.506 |
RBOB | 29.893*** | 9.832 | 5.997 | 4.446 | 0.119 | 9.123 | 5.877 | 4.653 |
Heating Oil | 12.212*** | 9.892 | 6.394 | 4.955 | 1.306 | 10.343 | 5.941 | 4.582 |
Diesel NY | 9.663** | 10.387 | 6.334 | 4.887 | 0.752 | 11.563 | 6.249 | 4.467 |
Kerosene | 13.372*** | 9.898 | 6.052 | 4.702 | 12.807*** | 8.292 | 5.698 | 4.526 |