This study mainly explores the effect of market states (price and returns) on the relationship between spot and futures oil prices and targets three important issues: long-run cointegration, causalities, and market efficiency. Based on previous studies exhibiting bi-directional causality between spot and futures oil prices, this study employs quantile regressions to examine the possible feedback effect in their long-run cointegration and their causalities. In particular, it allows for exploring the possible asymmetric responses between spot and futures markets. The empirical results herein find that the long-run cointegrated relationship between contemporaneous spot and futures prices is impacted by the states of the spot markets. Similarly, whether futures oil prices lead spot oil prices is relevant with the states of the futures markets. This study also examines the efficiency of crude oil markets and shows that the efficiency is related to the length of futures contracts. These findings offer some implicative suggestions and strategies.

This dissertation includes two different empirical models about the economic growth and globalization in developed and developing countries from 1970 to 2008. First, we apply the quantile cointegration model provided by Xiao (2009) to examine the non-linear relationship between economic growth and globalization. Our empirical findings provide not only strong evidence that the cointegrating coefficients follow the time-varying process, but also the viewpoint of a long-run approach that overall globalization and their three dimensions act as engines of economic growth. Second, we adopt an advanced panel cointegration method which incorporates multiple structural breaks to examine the growth-globalization relationship. Differing from the weak outcomes of the traditional panel ointegration test without breaks, our findings provide strong evidence that overall globalization and its social dimension are cointegrated with RGDP both in developed and developing samples, and most of the structural break points are discovered in several main events. In addition, in evaluating whether or not the structural breaks affect the RGDP through globalization, we discover that the globalization have a directly positive impact on RGDP but indirectly exhibit negative (positive) impacts on real output via the channel of globalization in developed (developing) samples. Also, Different countries/groups reflect the different outcomes from the common shock of break event under the process of globalization. For the entire performance, the overall globalization brings the most positive effect on the real output in developed samples, and the social globalization is the main factor of promoting the economic development in developing samples.

This study examines the non-linear cointegrated relationship between capture production and the El Nino/La Nina index using the quantile technique proposed by Xiao (2009). According to the annual sample data of 6 Major Fishing Areas in the Pacific Ocean from 1950 to 2008, our empirical findings provide strong evidence that the cointegrating coefficients follow a time-varying process. They also imply that most of these long-run relationships are influenced by potential shocks over time rather than from maintaining a constant effect consistently. Overall, the contributions of this study not only stresses the importance of the quantile property in cointegrated models, but also provides a viewpoint on the long-run approach that the overall El Nino and La Nina act as engines for capture production.