The relationship between European Brent crude oil price development and the US macroeconomy
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Omid Faseli: Institute of Information System Engineering, Vienna University of Technology, Vienna, Austria
International Journal of Research in Business and Social Science (2147-4478), 2020, vol. 9, issue 1, 80-87
Abnormal volatility has a damaging effect on the macroeconomyand is seen as a measure of risk in asset and commodity markets. This investigation had the aim to analyze the supposed transatlantic volatility inducing effect of the most prominent scheduled macroeconomic news announcements from the United States (US) on Brent Blend crude oil price intraday volatility over a period of seven years from 2012 to 2018. The objective was to generate a ranking list of scheduled US macroeconomic news that forecast high intraday volatility episodes at precise points in time. A total of 38 US news was analyzed using a data mining workflow. Data modeling was conducted using a simple ordinary least squares regression model and performed with programming language Python. A one hour window of rolling standard deviation based on one minute high frequency closing prices was applied. As a result, 20 scheduled US macroeconomic news were successfully identified to significantly impact Brent crude oil price volatility. The model strongly supports the forecast of high price fluctuations and provides an opportunity for market players to adjust their risk management strategies right in time. Key Words:Data Science, Event Study, Intraday Crude Oil Volatility, Macroeconomic News Announcements Brent, Crude Oil
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Persistent link: https://EconPapers.repec.org/RePEc:rbs:ijbrss:v:9:y:2020:i:1:p:80-87
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