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

• The spread of refined-crude oil petroleum prices in the US after COVID-19 is analyzed. • Fractional integration and cointegration methodologies are used. • The spread between refined and crude oil after COVID does not exhibit a clear mean-reversion pattern. • The impact of the imbalance in the demand-supply of oil on the spread was influenced by industrial supply bottlenecks. 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. The findings indicate that, while the spread exhibits non-mean-reverting behavior after COVID, natural gas prices do not significantly affect the spread in the long run. In contrast, supply-demand imbalances and refinery constraints appear to be the main drivers. These results offer new insights into the structural determinants of refined oil prices in the post-pandemic energy landscape.