Korean Energy Economic Review ISSN:1599-7057(Print) 에너지경제연구

This study analyzed the dynamic relationship of international oil market integration. Considering the possibility of structural change, unit root test and cointegration analysis were carried out. The structural change dummy variable based on the endogenously determined break-point is included for the whole period. Cointegration and Granger causality analysis between the international oil prices was conducted for the periods before and after the break-point. As a result, the prices of WTI, Dubai and Brent showed a random walking and a co-integration relation, and the international oil market was integrated. However, the long-run equilibrium relationship and the causal relationship between international crude oil prices were different in sub-periods. The prices of WTI, Dubai and Brent before the structural change showed a significant influence on the mutual prediction with cointegration relaton. However, after the structural change, WTI, Dubai, and Brent prices did not have a long-run relation as well as causality. The integration of the international crude oil market can be seen as a dynamic phenomenon depending on structural changes and analysis periods.