Prior literature demonstrates that energy prices are characterized by time-varying jumps. However, earlier studies do not investigate if the intensity of such jumps appears to be higher amid periods of extreme volatility in comparison to normal periods. Employing the GARCH-jump model, this study examines whether jumps occurring in energy prices are an indicator of market crashes. To serve this purpose, we consider several downturns in oil markets spanning over the last few years. Our empirical analyses reveal that the conditional expected number of jumps in WTI and Brent oil futures prices increases significantly amid the depression periods, which is, however, not the case when the market functions normally. We, therefore, conclude that such clusters of jumps may contain predictive information for oil market crashes and thus provide early signals of future downturns. The findings further show that crude oil volatility, the US equity VIX, and economic policy uncertainty play a significant role in explaining the time-dependent jumps during the turmoil periods. The findings of our research could be useful for investors participating in global crude oil markets and for policymakers watching out for the impact of energy prices on the economy.

先前的文献表明，能源价格的特点是随时间变化。然而，早期的研究并未调查在极端波动时期与正常时期相比，这种跳跃的强度是否似乎更高。本研究采用 GARCH 跳跃模型，检验能源价格的跳跃是否是市场崩盘的指标。为了实现这一目的，我们考虑了过去几年石油市场的几次低迷。我们的实证分析表明，在萧条时期，WTI 和布伦特原油期货价格的有条件预期跳跃次数显着增加，然而，当市场正常运行时，情况并非如此。因此，我们，得出的结论是，这种跳跃集群可能包含石油市场崩盘的预测信息，从而提供未来低迷的早期信号。研究结果进一步表明，原油波动性、美国股市 VIX 和经济政策不确定性在解释动荡期间的时间依赖性跳跃方面发挥了重要作用。我们的研究结果可能对参与全球原油市场的投资者以及关注能源价格对经济影响的政策制定者有用。