Disentangling Timing Uncertainty of Event-Driven Connectedness among Oil-Based Energy Commodities

Evžen Kočenda, Daniel Bartušek and Evžen Kocenda
Authors registered in the RePEc Author Service: Evžen Kočenda

No 11494, CESifo Working Paper Series from CESifo

Abstract: Reported news events frequently influence the pricing dynamics of oil-based commodities. We analyze almost 900 oil-related events from 1987 to 2022, categorizing them based on recurring characteristics. We quantify dynamic connectedness among energy commodities and apply a novel bootstrap-after-bootstrap testing procedure to identify 21 statistically significant historical events that triggered abrupt and enduring increases in volatility connectedness. Geopolitical events are more consistently associated with elevated connectedness than economic events, while natural events do not exhibit a similar impact. Events share prevailing characteristics: their negativity, unexpected nature, and the introduction of concerns about oil supply shortages.

Keywords: energy commodities; crude oil; volatility connectedness; systemic events; bootstrap-after-bootstrap procedure (search for similar items in EconPapers)
JEL-codes: C32 C58 G15 Q02 Q35 (search for similar items in EconPapers)
Date: 2024
New Economics Papers: this item is included in nep-ene
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Related works:
Working Paper: Unraveling Timing Uncertainty of Event-driven Connectedness among Oil-Based Energy Commodities (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_11494

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