Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/308390 
Year of Publication: 
2024
Series/Report no.: 
CESifo Working Paper No. 11494
Publisher: 
CESifo GmbH, Munich
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.
Subjects: 
energy commodities
crude oil
volatility connectedness
systemic events
bootstrap-after-bootstrap procedure
JEL: 
C32
C58
G15
Q02
Q35
Document Type: 
Working Paper
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