Kocenda, Evzen and Bartusek, Daniel (2025) Disentangling Timing Uncertainty of Event-Driven Connectedness Among Oil-Based Energy Commodities. AUSTRALIAN ECONOMIC REVIEW, 58 (2). pp. 65-90. ISSN 0004-9018, 1467-8462
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Reported news events frequently influence the pricing dynamics of oil-based commodities. We analyse almost 900 oil-related events from 1987 to 2022, categorising 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.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | VOLATILITY SPILLOVERS; FINANCIAL CRISIS; PRICE SHOCKS; HYPOTHESIS; DYNAMICS; ECONOMY; RETURN; CHINA; bootstrapafter- bootstrap procedure; crude oil; energy commodities; systemic events; volatility connectedness |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Institute for East and Southeast European Studies (IESES) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 21 Apr 2026 05:34 |
| Last Modified: | 21 Apr 2026 05:34 |
| URI: | https://pred.uni-regensburg.de/id/eprint/67016 |
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