Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F17%3A00478478" target="_blank" >RIV/67985556:_____/17:00478478 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/00216208:11230/17:10361780

Výsledek na webu

<a href="http://dx.doi.org/10.1016/j.eneco.2017.05.003" target="_blank" >http://dx.doi.org/10.1016/j.eneco.2017.05.003</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.eneco.2017.05.003" target="_blank" >10.1016/j.eneco.2017.05.003</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets

Popis výsledku v původním jazyce

Oil markets profoundly influence world economies through determination of prices of energy and trans- ports. Using novel methodology devised in frequency domain, we study the information transmission mechanisms in oil-based commodity markets. Taking crude oil as a supply-side benchmark and heating oil and gasoline as demand-side benchmarks, we document new stylized facts about cyclical properties of the transmission mechanism generated by volatility shocks with heterogeneous frequency responses. Our first key finding is that shocks to volatility with response shorter than one week are increasingly important to the transmission mechanism over the studied period. Second, demand-side shocks to volatility are becom- ing increasingly important in creating short-run connectedness. Third, the supply-side shocks to volatility resonating in both the long run and short run are important sources of connectedness.

Název v anglickém jazyce

Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets

Popis výsledku anglicky

Oil markets profoundly influence world economies through determination of prices of energy and trans- ports. Using novel methodology devised in frequency domain, we study the information transmission mechanisms in oil-based commodity markets. Taking crude oil as a supply-side benchmark and heating oil and gasoline as demand-side benchmarks, we document new stylized facts about cyclical properties of the transmission mechanism generated by volatility shocks with heterogeneous frequency responses. Our first key finding is that shocks to volatility with response shorter than one week are increasingly important to the transmission mechanism over the studied period. Second, demand-side shocks to volatility are becom- ing increasingly important in creating short-run connectedness. Third, the supply-side shocks to volatility resonating in both the long run and short run are important sources of connectedness.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

<a href="/cs/project/GA16-14179S" target="_blank" >GA16-14179S: Nové míry závislostí ekonomických proměnných</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2017

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Energy Economics

ISSN

0140-9883

e-ISSN

—

Svazek periodika

65

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

11

Strana od-do

208-218

Kód UT WoS článku

000406731900019

EID výsledku v databázi Scopus

2-s2.0-85022196426