U.S. diesel fuel price responses to the global crude oil supply and demand

Bahram Adrangi*, Arjun Chatrath, Joseph Macri, Kambiz Raffiee

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract

The objective of this study is to examine the monthly movements of U.S. diesel price for the period 1974-2017. We argue that the diesel price may be responsive to crude oil market fundamentals. The model employed includes the global demand and supply for crude oil, in addition to the inventory of crude oil and the level of industrial production for the U.S. The Structural Vector Autoregressive formulation and the Vector Error Correction model suggest that global demand shocks to crude oil, including the inventory of crude oil in the U.S. are primarily responsible for diesel price movements in the U.S., accounting for up to 30-70% of its variation.

Original languageEnglish
Article number1850018
Pages (from-to)1-25
Number of pages25
JournalAnnals of Financial Economics
Volume13
Issue number4
DOIs
Publication statusPublished - Dec 2018

Keywords

  • SVAR
  • diesel prices in U.S
  • supply and demand shocks

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