Benchmark Pricing and Storage Valuation: Investigating the Link Between Pricing Dynamics and Market Fluctuations
Description
This repository contains replication materials supporting the article: Benchmark Pricing and Storage Valuation: Investigating the Link Between Pricing Dynamics and Market Fluctuations The archive provides derived indices, econometric code, and supporting documentation used in the empirical analysis. Repository Contents Data Files HeavySOVDaily_Data_Repository.xlsx Spread Option Value (SOV) indices and storage index series. CovolGPR_Data_Repository.xlsx Co-volatility (covol) and related variables. data_gpr_daily_Data_Repository.xls Global petroleum-related demand (gprd) and macroeconomic control variables. Econometric Code greghansenedit_Revised_EE_April_2026.prg Gregory–Hansen cointegration with structural breaks, Chow breakpoint testing, ARDL estimation, and associated procedures. granger.prg Granger causality and Fisher-type causality testing procedures. Variable Definition Cartagena_SOV Spread Option Value (SOV) index for Cartagena Dalian_SOV Spread Option Value (SOV) index for Dalian Houston_SOV Spread Option Value (SOV) index for Houston Vadinar_SOV Spread Option Value (SOV) index for Vadinar PHSIC Paasche heavy storage index (chained specification) PHSIF Paasche world storage index (fixed-base specification, base period 10/25/2018) LHSIC Laspeyres heavy storage index (chained specification) LHSIF Laspeyres heavy storage index (fixed-base specification, base period 10/25/2018) KPHSIC Paasche TCI heavy storage index (chained specification) KPHSIF Paasche TCI heavy storage index (fixed-base specification, base period 10/25/2018) KLHSIC Laspeyres TCI heavy storage index (chained specification) KLHSIF Laspeyres TCI heavy storage index (fixed-base specification, base period 10/25/2018) Sample Period All variables span the sample period from 10/25/2018 through 10/20/2023.
Files
Steps to reproduce
Replication Steps Import the supplied datasets and EViews program files into EViews 13 or later. Run unit root tests (ADF, DF-GLS, PP, and KPSS) to confirm all variables are integrated of order I(0) or I(1). Estimate ARDL specifications using benchmark crude oil price series, Spread Option Value (SOV) measures, and storage index variables. Run Gregory–Hansen structural break cointegration tests, Chow breakpoint tests, and ARDL bounds tests. Estimate long-run equilibrium relationships and associated ECM short-run dynamics conditional on evidence of cointegration. Run Granger causality and Fisher-type causality procedures using the supplied EViews programs. Replicate reported tables, statistics, and robustness specifications using the archived derived indices and econometric code. Data Sources The proprietary benchmark price series used in the empirical analysis are not included in this repository. Brent and WTI daily crude oil spot price series used in the analysis were obtained from Bloomberg. Comparable public benchmark spot price series are available from the U.S. Energy Information Administration (EIA). Basrah-Asia, Dalian, and Cartagena assessed crude oil price series were obtained from S&P Global Commodity Insights (Platts) and are proprietary commercial datasets. The repository therefore contains: derived indices; transformed research variables; and econometric code used in the empirical analysis, rather than the underlying proprietary commercial price, futures, forward curve, or storage datasets. Researchers with authorized access to equivalent proprietary datasets should be able to reproduce the reported empirical results using the archived materials. Software Requirements EViews 13 or later recommended Standard EViews ARDL and causality testing functionality enabled
Institutions
- King Abdullah Petroleum Studies and Research CenterRiyadh Region, Riyadh