Impact of macroeconomic news surprises and uncertainty for major economies on returns and volatility of oil futures

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dc.contributor.author Bahloul, Walid
dc.contributor.author Gupta, Rangan
dc.date.accessioned 2019-05-03T14:33:11Z
dc.date.issued 2018-12
dc.description.abstract We analyze the impact of macroeconomic news surprises for Canada, the Euro area, Japan, the UK, and the US relating to returns and volatility for West Texas Intermediate and Brent crude oil futures. We look at futures markets, since they are widely believed to predict spot market movements. We also investigate the possibility of an asymmetric impact of good and bad macroeconomic news surprises, as well as the role of economic uncertainty for these economies in affecting oil futures market movements. Two major conclusions can de drawn from our study: (a) macroeconomic surprises, as well as uncertainties for other economies (over and above that of the US) were 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. en_ZA
dc.description.department Economics en_ZA
dc.description.embargo 2019-12-01
dc.description.librarian hj2019 en_ZA
dc.description.uri http://www.elsevier.com/locate/inteco en_ZA
dc.identifier.citation Bahloul, W. & Gupta, R. 2018, Impact of macroeconomic news surprises and uncertainty for major economies on returns and volatility of oil futures', International Economics, vol. 156, pp. 247-253. en_ZA
dc.identifier.issn 2110-7017
dc.identifier.other 10.1016/j.inteco.2018.04.002
dc.identifier.uri http://hdl.handle.net/2263/69038
dc.language.iso en en_ZA
dc.publisher Elsevier en_ZA
dc.rights © 2018 CEPII (Centre d'Etudes Prospectives et d'Informations Internationales), a center for research and expertise on the world economy. Published by Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in International Economics. 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 International Economics, vol. 156, pp. 247-253, 2018. doi : 0.1016/j.inteco.2018.04.002. en_ZA
dc.subject Macroeconomic news surprises en_ZA
dc.subject Uncertainty en_ZA
dc.subject Behavioural finance en_ZA
dc.subject Oil futures en_ZA
dc.subject Returns en_ZA
dc.subject Volatility en_ZA
dc.title Impact of macroeconomic news surprises and uncertainty for major economies on returns and volatility of oil futures en_ZA
dc.type Postprint Article en_ZA


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