The authors (inc. our researcher prof. Kočenda) analyse almost 900 oil-related events from 1987 to 2022, categorizing them based on recurring characteristics. They 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 affecting the environment do not exhibit a similar impact. Events share prevailing characteristics: their negativity, unexpected nature, and the introduction of concerns about oil supply shortages.
