بررسی رژیم های قیمتی دو شاخص عمده بازار جهانی نفت(برنت و WTI) قبل و بعد از بحران مالی:کاربردی از رویکرد مارکف سوئیچینگ

This study has been investigated price regimes of two prime index in the world oil market(Brent and WTI) based on weekly data over the period 2003/1/3-2007/5/25 (before financial crisis) and 2009/3/6-2012/12/14(after financial crisis) by using marko regime switching model whit dynamic autoregressive coefficient. The results show that the model MSMAH(3)-AR(2) is the optimal model for description price regimes of Brent and WTI index before and after the financial crisis. Also the recent financial crisis causes a change in dominate price regime of Berent while WTI tends to stay in the its previous regime. This may lead to the abnormal price spreads between them after the financial crisis. in our opinions, the reasons for this are attributed to their difference fundamentals drivers and closely related whit the recent dynamics in crude oil markets