Access Type
Open Access Dissertation
Date of Award
January 2025
Degree Type
Dissertation
Degree Name
Ph.D.
Department
Economics
First Advisor
Liang Hu
Abstract
This study examines price volatility spillovers between two major world crude oil benchmarks, WTI and Brent, as well as between WTI and its refinery products using daily data from 1987 to 2023. The analysis focuses on two key phenomena: the financialization of commodity markets and the fracking revolution. To capture these dynamics, the study employs two models: the BEKK-GARCH model by Engle and Kroner (1995) and the D-Y volatility index by Diebold and Yilmaz (2009, 2012). Findings reveal that both phenomena significantly influence the direction and magnitude of volatility spillovers between these markets. Specifically, results from the D-Y index show that financialization reversed the spillover direction. During the pre-financialization period, WTI acted as a net sender of volatility while Brent was the net receiver, a relationship that flipped in the post-financialization era. Additionally, we checked volatility spillover between WTI and its by-products in the United States. The results show that the heating oil market is the primary sender of volatility to WTI and gasoline markets in all sample sub-periods.
Recommended Citation
Bani Hani, Mohammad Taisir, "Volatility Spillover Across Energy Markets" (2025). Wayne State University Dissertations. 4219.
https://digitalcommons.wayne.edu/oa_dissertations/4219