OPEC News and Jumps in the Oil Market

Konstantinos Gkillas (gillask@upatras.gr), Rangan Gupta, Christian Pierdzioch and Seong-Min Yoon
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Konstantinos Gkillas: Department of Business Administration, University of Patras, University Campus, Rio, P.O. Box 1391, 26500 Patras, Greece

No 202053, Working Papers from University of Pretoria, Department of Economics

Abstract: We study the role of OPEC meeting dates and production announcements for predicting jumps in the oil market. The period of analysis spans from the daily period of 2nd December 1997 to 26th May 2017, with the start and end date corresponding to our availability of the intraday data on oil-price data. We, first, apply the standard linear Granger causality test to detect evidence of the OPEC-based predictors in causing jumps. This test fails to detect predictability from OPEC-based predictors to oil market jumps. Yet given the strong evidence of nonlinearity between jumps and the dummies capturing news regarding the OPEC production announcements and meeting dates, we next use a nonparametric causality-in-quantiles test. Upon employing this data-driven robust approach, we find strong evidence that the variables do predict oil market jumps, ranging from the lower end of the conditional distribution of jumps to around the median.

Keywords: Oil market jumps; OPEC announcements; Nonparametric quantile causality (search for similar items in EconPapers)
JEL-codes: C22 Q02 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2020-06
New Economics Papers: this item is included in nep-ene
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