0601896 20250526123400.320241127235959.9 2364-1428 Mnichov CESifo 2024 35 s. E CESifo working papers 11494/2024 energy commodities crude oil volatility connectedness systemic events bootstrap-after-bootstrap procedure cav_un_auth*0312139 Kočenda Evžen UTIA-B Ekonometrie Department of Econometrics E E Department of Econometrics CZ 50 Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0446430 Bartušek D. CZ https://library.utia.cas.cz/separaty/2024/E/kocenda-0601896.pdf 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. AH 50000 50200 50202 2025 2 2 O 4 4o 4 20250526123351.8 4 20250526123400.3 RVO:67985556 https://hdl.handle.net/11104/0359679 S 2024 Soubory v repozitáři: 0601896.pdf 2024 Mnichov CESifo