The Impact of Macroeconomic News Surprises and Uncertainty of Major Economies on Returns and Volatility of Oil Futures

Walid Bahloul () and Rangan Gupta

No 201715, Working Papers from University of Pretoria, Department of Economics

Abstract: Unlike the literature on macroeconomic news surprises and oil markets, which concentrates on spot prices and US news primarily, we analyze the impact of macroeconomic news surprises of Canada, Euro area, Japan, and UK (besides the US) on returns and volatility of oil futures for the West Texas Intermediate and Brent crude. We look at futures markets, since it is widely believe to predict the spot market movements. In addition, we also analyze possibility of asymmetric impact due to good and bad macroeconomic news surprises, as well as, the role of economic uncertainty of these economies in affecting the oil futures markets movements. We can draw two major conclusions: (a) Macroeconomic surprises, as well as uncertainties, of other economies (over and above that of the US) are 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; Oil Futures; Returns and Volatility (search for similar items in EconPapers)
JEL-codes: C32 Q41 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2017-03
New Economics Papers: this item is included in nep-ene and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Impact of macroeconomic news surprises and uncertainty for major economies on returns and volatility of oil futures (2018)
Journal Article: Impact of macroeconomic news surprises and uncertainty for major economies on returns and volatility of oil futures (2018)
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:pre:wpaper:201715

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().