| bibtype |
J -
Journal Article
|
| ARLID |
0478478 |
| utime |
20240103214544.2 |
| mtime |
20170925235959.9 |
| SCOPUS |
85022196426 |
| WOS |
000406731900019 |
| DOI |
10.1016/j.eneco.2017.05.003 |
| title
(primary) (eng) |
Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets |
| specification |
| page_count |
11 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0250426 |
| ISSN |
0140-9883 |
| title
|
Energy Economics |
| volume_id |
65 |
| volume |
1 (2017) |
| page_num |
208-218 |
| publisher |
|
|
| keyword |
Connectedness |
| keyword |
Cycles |
| keyword |
Spectral analysis |
| author
(primary) |
| ARLID |
cav_un_auth*0327877 |
| name1 |
Křehlík |
| name2 |
Tomáš |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0242028 |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| full_dept |
Department of Econometrics |
| name1 |
Baruník |
| name2 |
Jozef |
| institution |
UTIA-B |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| ARLID |
cav_un_auth*0350251 |
| project_id |
GA16-14179S |
| agency |
GA ČR |
| country |
CZ |
|
| abstract
(eng) |
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. |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50202 |
| reportyear |
2018 |
| num_of_auth |
2 |
| mrcbC52 |
4 A hod 4ah 20231122142653.8 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0274597 |
| cooperation |
| ARLID |
cav_un_auth*0308308 |
| name |
Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague |
| institution |
IES FSV UK |
| country |
CZ |
|
| mrcbC64 |
1 Department of Econometrics UTIA-B 50202 ECONOMICS |
| confidential |
S |
| mrcbC86 |
1* Article Economics |
| mrcbC86 |
1* Article Economics |
| mrcbC86 |
1* Article Economics |
| mrcbT16-e |
ECONOMICS |
| mrcbT16-j |
1.172 |
| mrcbT16-s |
1.916 |
| mrcbT16-B |
69.577 |
| mrcbT16-D |
Q2 |
| mrcbT16-E |
Q1 |
| arlyear |
2017 |
| mrcbTft |
\nSoubory v repozitáři: barunik-0478478.pdf |
| mrcbU14 |
85022196426 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000406731900019 WOS |
| mrcbU63 |
cav_un_epca*0250426 Energy Economics 0140-9883 1873-6181 Roč. 65 č. 1 2017 208 218 Elsevier |
|