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

Marfatia, Hardik A.; Gupta, Rangan; Cakan, Esin

dc.contributor.author	Marfatia, Hardik A.
dc.contributor.author	Gupta, Rangan
dc.contributor.author	Cakan, Esin
dc.date.accessioned	2022-03-18T09:10:29Z
dc.date.available	2022-03-18T09:10:29Z
dc.date.issued	2021-05
dc.description.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.	en_ZA
dc.description.department	Economics	en_ZA
dc.description.librarian	hj2022	en_ZA
dc.description.uri	http://www.elsevier.com/locate/qref	en_ZA
dc.identifier.citation	2021, 'Dynamic impact of the U.S. monetary policy on oil market returns and volatility', The Quarterly Review of Economics and Finance, vol. 80, pp. 159-169, doi : 10.1016/j.qref.2021.02.002.	en_ZA
dc.identifier.issn	1062-9769
dc.identifier.other	10.1016/j.qref.2021.02.002
dc.identifier.uri	http://hdl.handle.net/2263/84554
dc.language.iso	en	en_ZA
dc.publisher	Elsevier	en_ZA
dc.rights	© 2021 Published by Elsevier Inc. on behalf of Board of Trustees of the University of Illinois. Notice : this is the author’s version of a work that was submitted for publication in Quarterly Review of Economics and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Quarterly Review of Economics and Finance, vol. 80, pp. 159-169, 2021. doi : 10.1016/j.qref.2021.02.002.	en_ZA
dc.subject	Monetary policy	en_ZA
dc.subject	Macroeconomic surprises	en_ZA
dc.subject	Oil returns and volatility	en_ZA
dc.subject	Time-varying model	en_ZA
dc.title	Dynamic impact of the U.S. monetary policy on oil market returns and volatility	en_ZA
dc.type	Preprint Article	en_ZA