Unraveling Timing Uncertainty of Event-driven Connectedness among Oil-Based Energy Commodities

Daniel Bartusek () and Evžen Kočenda
Additional contact information
Daniel Bartusek: Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague, Czech Republic

No 2023/35, Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

Abstract: Prices of oil-based commodities are often heavily influenced by the occurrence of various events covered in the news. We analyze over 900 events related to oil from 1978 to 2022 and group them based on a set of repeating characteristics. We quantify dynamic connectedness among energy commodities and use a novel bootstrap-after-bootstrap testing econometric framework to identify over 20 statistically significant historical events that triggered a sudden and lasting rise in volatility connectedness. We show that geopolitical events are linked with increases in connectedness much more often than economic events. Natural events do not exhibit a similar impact, though. The Majority of the events after which volatility connectedness increased share three common characteristics: they are negative, unexpected, and introduce fear of oil supply shortage.

Keywords: energy commodities; crude oil; volatility connectedness; systemic events; bootstrapafter-bootstrap procedure (search for similar items in EconPapers)
JEL-codes: C32 C58 G15 Q02 Q35 (search for similar items in EconPapers)
Pages: 49 pages
Date: 2023-35, Revised 2023
New Economics Papers: this item is included in nep-ene
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://ies.fsv.cuni.cz/en/unraveling-timing-uncer ... d-energy-commodities (application/pdf)

Related works:
Working Paper: Disentangling Timing Uncertainty of Event-Driven Connectedness among Oil-Based Energy Commodities (2024)
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:fau:wpaper:wp2023_35

Access Statistics for this paper

More papers in Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies Contact information at EDIRC.
Bibliographic data for series maintained by Natalie Svarcova ().