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Tail risk connectedness in the refined petroleum market: A first look at the impact of the COVID-19 pandemic

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  • Chatziantoniou, Ioannis
  • Gabauer, David
  • Perez de Gracia, Fernando

Abstract

This study provides a novel framework for analysing systematic tail risk transmission mechanisms by combining the Conditional Autoregressive Value-at-Risk (CAViaR) model with the recently developed Time-Varying Parameter Vector Autoregressive (TVP-VAR) based connectedness approach. We estimate dynamic spillovers across two crude oil (Brent and WTI) and four refined petroleum product (gasoline, heating oil, jet fuel and propane) prices from January, 17, 1997 to December 11, 2020. Results show that, both heating oil and kerosene are persistent net transmitters of shocks, signifying the important role of liquidity in the relevant markets. In addition, the role of either crude oil type appears to shift around 2009 following developments in the energy market. Overall, our findings suggest that, total connectedness are positively affected by major crisis episodes and that the recent COVID-19 pandemic appears to have the potential to propel both tail risk and exposure to losses to levels akin to those of the Global Financial Crisis of 2007–2008.

Suggested Citation

  • Chatziantoniou, Ioannis & Gabauer, David & Perez de Gracia, Fernando, 2022. "Tail risk connectedness in the refined petroleum market: A first look at the impact of the COVID-19 pandemic," Energy Economics, Elsevier, vol. 111(C).
    • Handle: RePEc:eee:eneeco:v:111:y:2022:i:c:s0140988322002195
    DOI: 10.1016/j.eneco.2022.106051
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    Cited by:

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    5. Wang, Linyu & Ji, Yifan & Ni, Zhongxin, 2023. "Spillover of stock price crash risk: Do environmental, social and governance (ESG) matter?," International Review of Financial Analysis, Elsevier, vol. 89(C).
    6. Gong, Xiao-Li & Zhao, Min & Wu, Zhuo-Cheng & Jia, Kai-Wen & Xiong, Xiong, 2023. "Research on tail risk contagion in international energy markets—The quantile time-frequency volatility spillover perspective," Energy Economics, Elsevier, vol. 121(C).
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    More about this item

    Keywords

    Crude oil; Refined petroleum products; Tail risk spillovers; Dynamic connectedness; TVP-VAR; CAViaR; COVID-19;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • F3 - International Economics - - International Finance
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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