HOW CRUDE OIL PRICES AFFECT DIESEL PRICES IN UNITED STATES: AN EMPIRICAL ANALYSIS USING ARDL APPROACH

Authors : Şebnem ÇOBAN

Pages : 64-74

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Publication Date : 2018-12-26

Article Type : Research Paper

Abstract :In this research, an in-depth analysis was conducted on log-linear model in order to examine the relationship between the crude oil and diesel prices. Generally, similar behavior may be observed between these variables. For this purpose, unit root analysis was conducted on time series data of log-linear model to examine if the series are stationary or non-stationary. The series also were analyzed using Engle-Granger Cointegration test to observe if they were co-integrated, and share the common stochastic trend. Moreover, ARDL insert ignore into journalissuearticles values(Autoregressive distributed lag); analysis was also conducted to examine the long-run relationship in this study. Monthly time series data between April 1994 and October 2017 of US crude oil and diesel prices have been used in this analysis. Empirical results clearly show that, the diesel and crude oil prices have the same trend and move in a similar way in time and there is an evidence that long-run relationship also exist.
Keywords : crude oil, diesel, log linear model, unit root, co integration