OPEC production decisions, macroeconomic news, and volatility in the Canadian currency and oil markets

Mohamed A. Ayadi, Walid Ben Omrane, Skander Lazrak and Xusheng Yan

Finance Research Letters, 2020, vol. 37, issue C

Abstract: We examine the simultaneous effect of OPEC production decisions and press releases, oil and gasoline inventory surprises, as well as US and Canadian macroeconomic news announcements on oil and Canadian dollar volatilities around US and European financial crises. We use a multivariate volatility model and implement an impulse response analysis to decompose the exogenous impacts into direct and indirect effects induced by volatility spillover. We find evidence of context-specific impacts and show that 67% of the total accumulated effect of OPEC decision to maintain production on oil volatility is induced by volatility spillover from the Canadian foreign exchange rate.

Keywords: WTI crude oil; Canadian dollar; OPEC; Macroeconomic news; Financial crisis (search for similar items in EconPapers)
JEL-codes: C5 F31 Q43 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:37:y:2020:i:c:s1544612319310621

DOI: 10.1016/j.frl.2019.101366

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