Compression? Bandwidth? Storage? What the hell are you talking about? FYI, most local television stations are still run off of VTR - the same medium you have sitting in your VCR right now. There may be compression if you are talking about digital cable/satellite service, but this would affect the entire programming range as a whole and not single out commercial segments.
The whole problem is a function of allowable sound levels. See, broadcasters are given maximum and minimum levels at which they can transmit sound, exceeding the maximum (peaking) will cause distortion on the receiver end. Turn the volume all the way up on your television and sounds will start going flat and squawky.
So television shows are broadcast within this range and use the dynamics of this range for dramatic purposes -- bad guys whisper their plans, Jack Bauer screams about not having enough time. But a commercial has a much simpler purpose -- to push product.
For a commercial producer, there is no dramatic reason to vary sound levels. They want your attention and the easiest way to get this is by screaming at you. Local commercials are generally just verbal pitches overlaid on images, no plot or character, so these suffer the most from "Screaming Larry" syndrome. As such, commercials then to operate at, or near, the peak of the volume range.
So are commercials louder? If you take the programming as a whole -- no. However, since they use such a limited range whereas the actual program will use a much more dynamic range then it can seem like they do.
btw. The first entry on a Google search for "volume on commercials" backs me up -
KCTV5 - Do We Turn Up The Volume On Commercials?