IAEE Members and subscribers to The Energy Journal: Please log in to access the full text article or receive discounted pricing for this article.

Volatility Spillovers Across Petroleum Markets

Abstract:
By using our newly defined measure, we detect and quantify asymmetries in the volatility spillovers of petroleum commodities: crude oil, gasoline, and heating oil. The increase in volatility spillovers after 2001 correlates with the progressive financialization of the commodities. Further, increasing spillovers from volatility among petroleum commodities substantially change their pattern after 2008 (the financial crisis and advent of tight oil production). After 2008, asymmetries in spillovers markedly declined in terms of total as well as directional spillovers. In terms of asymmetries we also show that overall volatility spillovers due to negative (price) returns materialize to a greater degree than volatility spillovers due to positive returns. An analysis of directional spillovers reveals that no petroleum commodity dominates other commodities in terms of general spillover transmission.

Download Executive Summary Purchase ( $25 )



JEL Codes: Q02: Commodity Markets, L71: Mining, Extraction, and Refining: Hydrocarbon Fuels, Q41: Energy: Demand and Supply; Prices, G13: Contingent Pricing; Futures Pricing; option pricing, Q40: Energy: General, Q35: Hydrocarbon Resources, G01: Financial Crises

Keywords: Volatility spillovers, Asymmetry, Petroleum markets

DOI: 10.5547/01956574.36.3.jbar

References: Reference information is available for this article. Join IAEE, log in, or purchase the article to view reference data.

Published in Volume 36, Number 3 of the bi-monthly journal of the IAEE's Energy Economics Education Foundation.

 

© 2024 International Association for Energy Economics | Privacy Policy | Return Policy