Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets

0478478 - ÚTIA 2018 RIV NL eng J - Journal Article
Křehlík, Tomáš - Baruník, Jozef
Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets.
Energy Economics. Roč. 65, č. 1 (2017), s. 208-218. ISSN 0140-9883. E-ISSN 1873-6181
R&D Projects: GA ČR(CZ) GA16-14179S
Institutional support: RVO:67985556
Keywords : Connectedness * Cycles * Spectral analysis
OECD category: Applied Economics, Econometrics
Impact factor: 3.910, year: 2017
http://library.utia.cas.cz/separaty/2017/E/barunik-0478478.pdf

Oil markets profoundly influence world economies through determination of prices of energy and trans- ports. Using novel methodology devised in frequency domain, we study the information transmission mechanisms in oil-based commodity markets. Taking crude oil as a supply-side benchmark and heating oil and gasoline as demand-side benchmarks, we document new stylized facts about cyclical properties of the transmission mechanism generated by volatility shocks with heterogeneous frequency responses. Our first key finding is that shocks to volatility with response shorter than one week are increasingly important to the transmission mechanism over the studied period. Second, demand-side shocks to volatility are becom- ing increasingly important in creating short-run connectedness. Third, the supply-side shocks to volatility resonating in both the long run and short run are important sources of connectedness.
Permanent Link: http://hdl.handle.net/11104/0274597