Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/286364 
Year of Publication: 
2023
Series/Report no.: 
IES Working Paper No. 35/2023
Publisher: 
Charles University in Prague, Institute of Economic Studies (IES), Prague
Abstract: 
The pricing dynamics of oil-based commodities are frequently influenced by reported events. Our analysis spans almost 900 oil-related events from 1978 to 2022, categorizing them based on recurring characteristics. Employing a novel bootstrap-after-bootstrap testing econometric framework, we quantify dynamic connectedness among energy commodities. Our findings reveal over 20 statistically significant historical events that triggered abrupt and enduring increases in volatility connectedness. Notably, geopolitical events are more consistently associated with elevated connectedness than economic events, while natural events do not exhibit a similar impact. The prevailing characteristics shared by events leading to increased volatility connectedness include their negativity, unexpected nature, and the introduction of concerns about oil supply shortages.
Subjects: 
energy commodities
crude oil
volatility connectedness
systemic events
bootstrapafter-bootstrap procedure
JEL: 
C32
C58
G15
Q02
Q35
Document Type: 
Working Paper

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