Post-COVID dynamics of the refined–crude oil price spread in the us: Evidence from long memory and fractional cointegration models

Abstract

This study investigates the widening spread between refined and crude oil prices in the United States during the post-COVID period. The objective of the paper is to analyze the dynamics of this spread, with particular emphasis on the persistence of shocks and the existence of long-run equilibrium relationships. The study is motivated by concerns about inflationary pressures stemming from energy price dynamics, particularly in the context of persistent supply bottlenecks and shifting demand patterns. We employ fractional integration and fractional cointegration methodologies—specifically ARFIMA and FCVAR models—to analyze the persistence of shocks and the long-run relationships among key variables. Monthly data from 2003 to 2023 are used, including WTI crude prices, gasoline prices, industrial natural gas prices, petroleum consumption, and refinery capacity utilization.