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This study examines the asymmetric market integration of the international crude oil market by applying hidden cointegration. After decomposing the benchmark prices in the Middle East, North America, and Europe into increasing and decreasing components, cointegration tests were performed between the same components. A causality test among the components was also conducted after estimating the crouching error correction models. As a result of the analysis, the long-run equilibrium relationships among the increasing components of Dubai, WTI, and Brent prices were established. This revealed that the crude oil market tended to be integrated when there was an upward pressure on oil prices. It was found that there were bidirectional causal relationships among the increasing components. On the other hand, there were no long-run equilibrium relationships among the decreasing components. The findings of this study can be used as a basic information for the preparation of policies for coping with increasing and decreasing oil prices.

A Study on Asymmetric Market Integration of the Crude Oil Markets: An Application of Hidden Cointegration