Evaluating robust determinants of the WTI/Brent oil price differential: A dynamic model averaging analysis
使用动态模型平均方法，研究了1994年至2021年间WTI与布伦特原油价差的稳健决定因素，发现便利收益、全球经济活动和政府债券收益率是主要影响因素，而其他因素如炼油约束、股市波动等在不同时期也有显著影响。
Abstract We investigate the robust determinants of the West Texas Intermediate/Brent oil price differential by employing a time‐varying framework. To achieve this, a dynamic model averaging framework is used, considering monthly data over the period 1994:1–2021:3. Our results suggest that the convenience yield, the global economic activity index, and the government bond yields act as the main factors that exercise a persistent and significant impact, for the largest part of the study period, although at different magnitude. More importantly, though, we show that at different time periods there are additional factors that exercise a significant impact on the oil price differential, such as refining constraints, stock market volatility, trading volume, and geopolitical risk. Thus, unless a dynamic modeling framework is employed, the full spectrum of the related effects cannot be revealed. A series of tests confirm the robustness of our findings. Several policy implications of these results are also discussed.