基于石油的能源商品事件驱动连接的时间不确定性解耦

IF 1 4区经济学 Q3 ECONOMICS

Australian Economic Review Pub Date : 2025-01-05 DOI:10.1111/1467-8462.12583

Evžen Kočenda, Daniel Bartušek

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引用次数: 0

摘要

报道的新闻事件经常影响以石油为基础的商品的定价动态。我们分析了1987年至2022年期间近900起与石油相关的事件，并根据重复出现的特征对它们进行了分类。我们量化了能源商品之间的动态连通性，并应用了一种新颖的自举后自举测试程序，以确定21个具有统计意义的历史事件，这些事件触发了波动性连通性的突然和持久增加。地缘政治事件与经济事件相比，更一致地与联系程度的提高联系在一起，而自然事件则没有表现出类似的影响。这些事件都有一个共同的特点：它们的消极性、突然性以及对石油供应短缺的担忧。

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Disentangling Timing Uncertainty of Event-Driven Connectedness Among Oil-Based Energy Commodities

Reported news events frequently influence the pricing dynamics of oil-based commodities. We analyse almost 900 oil-related events from 1987 to 2022, categorising 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.

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来源期刊

Australian Economic Review ECONOMICS-

CiteScore

1.90

自引率

10.00%

发文量

期刊介绍： An applied economics journal with a strong policy orientation, The Australian Economic Review publishes high-quality articles applying economic analysis to a wide range of macroeconomic and microeconomic topics relevant to both economic and social policy issues. Produced by the Melbourne Institute of Applied Economic and Social Research, it is the leading journal of its kind in Australia and the Asia-Pacific region. While it is of special interest to Australian academics, students, policy makers, and others interested in the Australian economy, the journal also considers matters of international interest.