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Impact of macroeconomic news surprises and uncertainty for major economies on returns and volatility of oil futures

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  • Bahloul, Walid
  • Gupta, Rangan

Abstract

We analyze the impact of macroeconomic news surprises for Canada, the Euro area, Japan, the UK, and the US relating to returns and volatility for West Texas Intermediate and Brent crude oil futures. We look at futures markets, since they are widely believed to predict spot market movements. We also investigate the possibility of an asymmetric impact of good and bad macroeconomic news surprises, as well as the role of economic uncertainty for these economies in affecting oil futures market movements. Two major conclusions can de drawn from our study: (a) macroeconomic surprises, as well as uncertainties for other economies (over and above that of the US) were found to be important in driving oil futures, with the effect of these other economies being relatively stronger than the US in some instances; and (b) there is strong evidence of asymmetric effects, especially for volatility.

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  • Bahloul, Walid & Gupta, Rangan, 2018. "Impact of macroeconomic news surprises and uncertainty for major economies on returns and volatility of oil futures," International Economics, Elsevier, vol. 156(C), pages 247-253.
    • Handle: RePEc:eee:inteco:v:156:y:2018:i:c:p:247-253
    DOI: 10.1016/j.inteco.2018.04.002
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    More about this item

    Keywords

    Macroeconomic news surprises; Uncertainty; Behavioural finance; Oil futures; Returns and volatility;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • G40 - Financial Economics - - Behavioral Finance - - - General

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