Assessing contagion in oil markets across eight crisis episodes

This study investigates contagion across oil markets in 22 countries during eight crisis episodes from 2007 to 2023 using linear, asymmetric, and extremal dependence tests alongside network analysis. The combination of these methods provides a comprehensive approach to understanding the transmission dynamics within oil markets. Our findings show that the COVID-19 pandemic-induced crisis had the most significant contagion effects, followed by military conflicts like the Russia-Ukraine war, while financial crises exhibited the least contagion. The use of asymmetric and tail dependence tests revealed that non-linear contagion channels were more influential than linear ones in driving market contagion. Additionally, network analysis uncovered that oil-importing countries were more vulnerable during financial crises, while oil-exporting countries experienced stronger contagion during oil-related and military crises. These insights contribute to a deeper understanding of oil market contagion, highlighting the importance of accounting for asymmetric dependencies and the differential vulnerabilities of oil-exporting and oil-importing countries in times of crisis.