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Oil markets profoundly influence world economies through determination ofprices of energy and transports. Using novel methodology devised in frequencydomain, we study the information transmission mechanisms in oil-based commoditymarkets. Taking crude oil as a supply-side benchmark and heating oil andgasoline as demand-side benchmarks, we document new stylized facts aboutcyclical properties of the transmission mechanism generated by volatilityshocks with heterogeneous frequency responses. Our first key finding is thatshocks to volatility with response shorter than one week are increasinglyimportant to the transmission mechanism over the studied period. Second,demand-side shocks to volatility are becoming increasingly important increating short-run connectedness. Third, the supply-side shocks to volatilityresonating in both the long run and short run are important sources ofconnectedness.

Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets