Dynamic volatility spillovers and frequency-based connectedness in global crude oil markets: Evidence from a TVP-VAR-FC approach

This study employs a time-varying parameter vector autoregression-based frequency connectedness (TVP-VAR-FC) framework to investigate dynamic integration and frequency-specific volatility spillovers among six major crude oil benchmarks: Brent (European/Atlantic Basin), WTI (United States), Dubai (Middle East), Tapis (Asia-Pacific), Bonny Light (West Africa), and the OPEC Basket (OPEC composite). These benchmarks are treated as regionally representative pricing references, allowing a clearer identification of cross-market transmission channels within the global oil system. The methodology decomposes connectedness into short- and long-term components, thereby distinguishing transitory shocks from persistent structural linkages. The empirical results reveal substantial volatility spillovers across all markets, confirming a high degree of global interdependence. In the short run, Bonny Light, Brent, and WTI act as dominant net transmitters, while Tapis and the OPEC Basket function as net receivers. These findings reflect underlying market structures: Brent and WTI transmit shocks due to their deep liquidity and central role in global price discovery, whereas Bonny Light reflects sensitivity to supply disruptions in West African markets. In contrast, Tapis exhibits receiver behaviour due to lower market depth and reliance on external benchmarks. Over longer horizons, spillovers decline, indicating weaker synchronisation and more regionally differentiated dynamics.