EconPapers    
Economics at your fingertips  
 

Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets

Tomas Krehlik and Jozef Baruník ()

Papers from arXiv.org

Abstract: Oil markets profoundly influence world economies through determination of prices of energy and transports. Using novel methodology devised in frequency domain, we study the information transmission mechanisms in oil-based commodity markets. Taking crude oil as a supply-side benchmark and heating oil and gasoline as demand-side benchmarks, we document new stylized facts about cyclical properties of the transmission mechanism generated by volatility shocks with heterogeneous frequency responses. Our first key finding is that shocks to volatility with response shorter than one week are increasingly important to the transmission mechanism over the studied period. Second, demand-side shocks to volatility are becoming increasingly important in creating short-run connectedness. Third, the supply-side shocks to volatility resonating in both the long run and short run are important sources of connectedness.

New Economics Papers: this item is included in nep-ene and nep-mac
Date: 2016-03, Revised 2017-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/1603.07020 Latest version (application/pdf)

Related works:
Journal Article: Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets (2017) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1603.07020

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2019-10-21
Handle: RePEc:arx:papers:1603.07020