STRUCTURAL BREAKS IN THE MARKETS: OIL'S EXAMPLE

Authors

  • LUÍS AGOSTINHO
  • CRISTINA VIEGAS
  • HENRIQUE MORAIS

DOI:

https://doi.org/10.26619/1647-7251.16.1.5

Keywords:

Structural breaks, WTI futures, Bai & Perron methodology, oil

Abstract

The importance of fossil fuels in the world's energy supply and the relationship between their fluctuations and geoeconomic and geopolitical phenomena make it important to analyze the major forces behind the often-unexpected behavior of oil prices. The aim of this paper is to study socio-economic events that are contemporaneous with structural changes in the price of oil, and which may indicate a causal relationship with them. This study uses the Bai & Perron methodology to detect structural breaks. The sample consists of observations of the closing prices of oil futures contracts traded in the US, West Texas Intermediate, corresponding to various maturities. We have identified three key points in the formation of oil prices. Firstly, we note the significant impact of macroeconomic factors, especially those more closely related to demand, as the main drivers of structural changes in the oil markets. The influence of OPEC in determining prices is also noted, highlighting its prominent role in the global oil landscape, although with less impact on the structural changes identified. Finally, the research suggests that, in a broader context, geopolitical events tend not to trigger significant structural changes in the oil market.

Downloads

Download data is not yet available.

Author Biographies

LUÍS AGOSTINHO

Graduated in Business Management from the Faculty of Economics at the University of Algarve (FE UAlg). Holds a Master’s degree in finance from FE UAlg. Works at Banco de Portugal (Portugal) in the Issue and Treasury Department. His main areas of interest are the energy markets.

CRISTINA VIEGAS

Cristina Viegas holds a Bachelor's degree in Business Management from the University of Algarve, a Master's degree in Management from the Instituto Superior de Economia e Gestão (ISEG) at the University of Lisbon, and a PhD in Management specializing in Finance and Accounting from the University of Algarve. She is currently the Director of the Undergraduate Business Management program at the Faculty of Economics at the University of Algarve (Portugal), where she also serves as a professor. She teaches finance-related courses in the undergraduate programs for Business Management, Economics, and Applied Mathematics to Economics and Management, as well as in the Master's programs in Finance and Marketing Management. Her research focuses on financial markets, financial derivatives, real options, and mathematical finance. She has published her work in various national and international journals, including Quantitative Finance, The Journal of Risk Finance, Tourism - An International Interdisciplinary Journal, and the International Journal of Financial Studies.

HENRIQUE MORAIS

Degree in Economics from Universidade Técnica de Lisboa / Instituto Superior de Economia e Gestão. Master's degree in International Economics from ISEG. PhD in International Relations: Geopolitics and Geoeconomics from Universidade Autónoma de Lisboa.
He works at Banco de Portugal (Portugal) where is Head of Innovation and Support Division of Markets Department. He was a Consultant for the Portuguese Post Office (CTT), Chairman of the Executive Committee and Director of Invesfer S.A., a company of the REFER Group, and Director / CEO of CP Carga. He teaches at Universidade Autónoma de Lisboa (in the Departments of Economics and Business Sciences and International Relations) and on the MBA in Corporate Finance at Universidade do Algarve. He is also a member of the Foreign Relations Observatory of UAL, where he has been involved in various research projects, as well as assiduous participation in the various editions of Janus - International Relations Yearbook.

Downloads

Published

2025-05-20

Issue

Vol. 16 No. 1 (2025)

Section

ARTICLES