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Disentangling Timing Uncertainty of Event-Driven Connectedness among Oil-Based Energy Commodities

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  • Evžen Kočenda
  • Daniel Bartušek

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.

Suggested Citation

  • Evžen Kočenda & Daniel Bartušek, 2024. "Disentangling Timing Uncertainty of Event-Driven Connectedness among Oil-Based Energy Commodities," CESifo Working Paper Series 11494, CESifo.
    • Handle: RePEc:ces:ceswps:_11494
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    References listed on IDEAS

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    3. Peter Albrecht & Evžen Kočenda, 2026. "Event-driven changes in return connectedness among cryptocurrencies," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 12(1), pages 1-37, December.
    4. Greenwood-Nimmo, Matthew & Kočenda, Evžen & Nguyen, Viet Hoang, 2024. "Detecting statistically significant changes in connectedness: A bootstrap-based technique," Economic Modelling, Elsevier, vol. 140(C).

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    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
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • Q35 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Hydrocarbon Resources

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