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OPEC news announcements: Effects on oil price expectation and volatility

Author

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  • Schmidbauer, Harald
  • Rösch, Angi

Abstract

Several times a year, OPEC hosts conferences among its members to agree on further oil production policies. Prior to OPEC conferences, there is usually rampant speculation about which decision concerning world oil production levels (no change, increase, or cut) will be announced. The purpose of our investigation is to assess the impact of OPEC announcements on expectation and volatility of daily oil price changes (returns).

Suggested Citation

  • Schmidbauer, Harald & Rösch, Angi, 2012. "OPEC news announcements: Effects on oil price expectation and volatility," Energy Economics, Elsevier, vol. 34(5), pages 1656-1663.
    • Handle: RePEc:eee:eneeco:v:34:y:2012:i:5:p:1656-1663
    DOI: 10.1016/j.eneco.2012.01.006
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    References listed on IDEAS

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    More about this item

    Keywords

    Crude oil price volatility; GARCH; Covariates; Modified dummy variables; OPEC announcements; WTI crude oil;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • N70 - Economic History - - Economic History: Transport, International and Domestic Trade, Energy, and Other Services - - - General, International, or Comparative

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