Volatility Spillovers Across Petroleum Markets

0438407 - ÚTIA 2016 RIV US eng J - Journal Article
Baruník, Jozef - Kočenda, Evžen - Vácha, Lukáš
Volatility Spillovers Across Petroleum Markets.
Energy Journal. Roč. 36, č. 3 (2015), s. 309-329. ISSN 0195-6574. E-ISSN 1944-9089
R&D Projects: GA ČR GA14-24129S
Keywords : Volatility spillovers * Asymmetry * Petroleum markets
Subject RIV: AH - Economics
Impact factor: 1.662, year: 2015
http://library.utia.cas.cz/separaty/2014/E/barunik-0438407.pdf

By using our newly defined measure, 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.
Permanent Link: http://hdl.handle.net/11104/0242965