  Oil markets profoundly influence 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 the transmission mechanism generated by volatility
shocks with heterogeneous frequency responses. Our first key finding is that
shocks to volatility with response shorter than one week are increasingly
important to the transmission mechanism over the studied period. Second,
demand-side shocks to volatility are becoming increasingly important in
creating short-run connectedness. Third, the supply-side shocks to volatility
resonating in both the long run and short run are important sources of
connectedness.
