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Volatility spillovers across petroleum markets

Jozef Baruni (), Evžen Kočenda () and Lukas Vacha ()
Authors registered in the RePEc Author Service: Jozef Baruník ()

No wp1093, William Davidson Institute Working Papers Series from William Davidson Institute at the University of Michigan

Abstract: We detect and quantify asymmetries in the volatility spillovers of petroleum commodities: crude oil, gasoline, and heating oil. The increase in volatility spillovers after 2001 correlates with the progressive financialization of the commodities. Further, increasing spillovers from volatility among petroleum commodities substantially change their pattern after 2008 (the financial crisis and advent of tight oil production). After 2008, asymmetries in spillovers markedly declined in terms of total as well as directional spillovers. In terms of asymmetries we also show that overall volatility spillovers due to negative (price) returns materialize to a greater degree than volatility spillovers due to positive returns. An analysis of directional spillovers reveals that no petroleum commodity dominates other commodities in terms of general spillover transmission.

Keywords: volatility spillovers; asymmetry; petroleum markets (search for similar items in EconPapers)
JEL-codes: C18 C58 G15 L71 Q35 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ene
Date: 2015-04-01
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http://deepblue.lib.umich.edu/bitstream/2027.42/132994/1/wp1093.pdf

Related works:
Journal Article: Volatility Spillovers Across Petroleum Markets (2015) Downloads
Working Paper: How does bad and good volatility spill over across petroleum markets? (2014) Downloads
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