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

Walid Bahloul and Rangan Gupta

International Economics, 2018, vol. 156, issue C, 247-253

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.

Keywords: Macroeconomic news surprises; Uncertainty; Behavioural finance; Oil futures; Returns and volatility (search for similar items in EconPapers)
JEL-codes: C32 G40 Q41 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (19)

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Related works:
Journal Article: Impact of macroeconomic news surprises and uncertainty for major economies on returns and volatility of oil futures (2018)
Working Paper: The Impact of Macroeconomic News Surprises and Uncertainty of Major Economies on Returns and Volatility of Oil Futures (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:inteco:v:156:y:2018:i:c:p:247-253

DOI: 10.1016/j.inteco.2018.04.002

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