Daniel Bartušek
Evžen Kočenda

Bartušek D., Kočenda E. (2023): " Unraveling Timing Uncertainty of Event-driven Connectedness among Oil-Based Energy Commodities" IES Working Papers 35/2023. IES FSV. Charles University.

Prices of oil-based commodities are often heavily influenced by the occurrence of various events covered in the news. We analyze over 900 events related to oil from 1978 to 2022 and group them based on a set of repeating characteristics. We quantify dynamic connectedness among energy commodities and use a novel bootstrap-after-bootstrap testing econometric framework to identify over 20 statistically significant historical events that triggered a sudden and lasting rise in volatility connectedness. We show that geopolitical events are linked with increases in connectedness much more often than economic events. Natural events do not exhibit a similar impact, though. The Majority of the events after which volatility connectedness increased share three common characteristics: they are negative, unexpected, and introduce fear of oil supply shortage.