Oil markets influence profoundly world economies through determination of prices of energy and transports. 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 transmission mechanism. Our first key finding is that shocks with shorter than one week response are increasingly important to the transmission mechanism over studied period. Second, demand-side shocks are becoming increasingly important in creating the short-run connectedness. Third, the supply-side shocks resonating in both long-run and short-run are important sources of connectedness.
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