Abstract: This paper studies crude oil market integration and spillovers between Brent and WTI oil indexes over the 2006�2019 period. In addition to prices, we estimate time series of model-free option-implied moments to capture forward-looking market views and anticipations of different risk categories. We describe the WTI-Brent equilibrium relationship in prices and in risk expectations measured by implied volatility, skewness, and kurtosis. Using a fractional cointegration model, we find long memory in the price cointegrating vector and in implied moments, implying that persistence of shocks is an important feature of crude oil markets. The evidence supports a differential in implied volatility but not in prices, and suggests equilibrium fragmentation during the Cushing bottleneck period. Analysis of implied moments reveals that Brent and WTI risk anticipations generally share a common equilibrium. Unlike volatility, asymmetric and tail risks are more locally driven, especially during market disruptions such as the Cushing bottleneck, so there is potential for diversifying extreme risks using both indexes.

中文翻译：

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国际石油市场风险预期和瓶颈：期权隐含的证据

摘要：本文研究了2006-2019年期间的原油市场整合以及布伦特原油和WTI原油指数之间的溢出效应。除价格外，我们还估算了无模型期权隐含动量的时间序列，以捕捉前瞻性的市场观点和对不同风险类别的预期。我们用价格，风险隐含波动率，偏度和峰度来衡量WTI-布伦特均衡关系。使用分数协整模型，我们发现价格协整向量和隐含的时刻有很长的记忆，这表明冲击的持久性是原油市场的重要特征。证据支持隐含波动率的差异，但没有价格差异，并表明在库欣瓶颈时期均衡的分散化。对隐含时刻的分析表明，布伦特原油和WTI风险预期通常具有共同的均衡。与波动率不同，非对称风险和尾部风险更受本地驱动，尤其是在市场崩溃（例如库欣瓶颈）期间，因此有可能使用这两个指数来分散极端风险。