EconPapers    
Economics at your fingertips  
 

Event Study of Energy Price Volatility: An Application of Distributional Event Response Model

Shiyu Ye, Berna Karali and Octavio Ramirez

No 170207, 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota from Agricultural and Applied Economics Association

Abstract: We apply the Distributional Event Response Model (DERM), which is appropriate in studying relatively slowly-evolving information events, to nineteen years of daily crude oil futures returns and volatility to analyze the pattern of market responses to selected events. The results show that all the events considered have statistically significant effects on crude oil futures price volatility. The U.S. invasion of Iraq in 2003 and the bankruptcy filing of Lehman Brothers in 2008 are found to have the largest impacts on both daily returns and volatility. In addition, the location and duration of event windows vary across different event. Generally, the largest volatility response to an event is observed after several months following the event, suggesting that simply using an event-day dummy variable would hinder discovering the actual market responses to slowly-evolving events.

Keywords: Demand and Price Analysis; Institutional and Behavioral Economics (search for similar items in EconPapers)
Pages: 19
Date: 2014
New Economics Papers: this item is included in nep-ene
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://ageconsearch.umn.edu/record/170207/files/Ye_Karali_Ramirez_AAEA_2014.pdf (application/pdf)

Related works:
Journal Article: Event Study of the Crude Oil Futures Market: A Mixed Event Response Model (2019) Downloads
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:ags:aaea14:170207

DOI: 10.22004/ag.econ.170207

Access Statistics for this paper

More papers in 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota from Agricultural and Applied Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().

 
Page updated 2022-10-03
Handle: RePEc:ags:aaea14:170207