EconPapers    
Economics at your fingertips  
 

Dynamic impact of the U.S. monetary policy on oil market returns and volatility

Hardik A. Marfatia, Rangan Gupta () and Esin Cakan

The Quarterly Review of Economics and Finance, 2021, vol. 80, issue C, 159-169

Abstract: In this paper, we assess the dynamic impact of the U.S. monetary policy announcements on oil market futures returns and volatility. We use intra-day data for West Texas Intermediate (WTI) oil futures together with a time-varying modeling approach to study the nature of this dynamic impact. In addition, we also control for macroeconomic news shocks and separately study the response of good and bad realized volatility. Evidence suggests that there is a significant time variation in the response of oil returns, as well as its volatility to the Federal Reserve policy announcements. Broadly, we also find that higher (lower) uncertainty about Federal Reserve policy actions is associated with a weaker (stronger) impact of the surprise policy announcements on oil returns and volatility.

Keywords: Monetary policy; Macroeconomic surprises; Oil returns and volatility; Time-varying model (search for similar items in EconPapers)
JEL-codes: C32 E44 E52 G14 Q43 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062976921000314
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Dynamic Impact of the U.S. Monetary Policy on Oil Market Returns and Volatility (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:80:y:2021:i:c:p:159-169

DOI: 10.1016/j.qref.2021.02.002

Access Statistics for this article

The Quarterly Review of Economics and Finance is currently edited by R. J. Arnould and J. E. Finnerty

More articles in The Quarterly Review of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2021-10-06
Handle: RePEc:eee:quaeco:v:80:y:2021:i:c:p:159-169