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Wti-Brent Spread: an Analysis of Factors That Influence Oil Price Differentials

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WTI-Brent Spread
An Analysis of Factors That Influence Oil Price Differentials

Yiming Huang
Dongming Li
Hanzheng Li
Shihui Qian

Fordham University
Financial Econometrics I
December 17, 2015

WTI-BRENT SPREAD

2

Contents
Abstract ......................................................................................................................................................... 3
1

Introduction ........................................................................................................................................... 3

2

Factors ................................................................................................................................................... 4
2.1

Dependent Variable ....................................................................................................................... 4

2.2

Independent Variable .................................................................................................................... 5

2.2.1

Financial market variables ........................................................................................ 5

2.2.2

Economic Variables .................................................................................................. 7

2.2.3

Underlying Assets Variables..................................................................................... 7

2.2.4

Weather Variable ...................................................................................................... 8

3

Model .................................................................................................................................................... 8

4

Result ..................................................................................................................................................... 8

5

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