Jumps in Oil Prices: The Role of Economic News

被引：43

作者：

Elder, John ^{[1
]}

Miao, Hong ^{[1
]}

Ramchander, Sanjay ^{[1
]}

机构：

[1] Colorado State Univ, Dept Finance & Real Estate, Ft Collins, CO 80523 USA

来源：

ENERGY JOURNAL | 2013年 / 34卷 / 03期

关键词：

Oil; Jumps; Macroeconomic news announcements; TESTABLE DISTRIBUTIONAL IMPLICATIONS; STOCK RETURNS; MACROECONOMIC NEWS; FINANCIAL-MARKETS; VOLATILITY MODELS; INFORMATION; DYNAMICS; IMPACT;

D O I：

10.5547/01956574.34.3.10

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Previous research has been unable to identify a strong link between crude oil prices and economic news. We reexamine this relationship using high frequency intraday data and relatively new methodology to estimate jumps in oil prices. We find a surprisingly strong correspondence between high frequency jumps in oil prices and the arrival of new economic information, with the largest jumps tending to be preceded identifiable economic news. These results indicate that oil prices respond very rapidly to new economic data in ways that appear consistent with economic theory, and also suggest that economic news, rather than speculation unrelated to the economic environment, drives jumps in oil prices.

引用

页码：217 / 237

页数：21

共 30 条

[1] The effects of inflation news on high frequency stock returns [J].

Adams, G ;

McQueen, G ;

Wood, R .

JOURNAL OF BUSINESS, 2004, 77 (03) :547-574

[2] The distribution of realized stock return volatility [J].

Andersen, TG ;

Bollerslev, T ;

Diebold, FX ;

Ebens, H .

JOURNAL OF FINANCIAL ECONOMICS, 2001, 61 (01) :43-76

[3] Deutsche mark dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies [J].

Andersen, TG ;

Bollerslev, T .

JOURNAL OF FINANCE, 1998, 53 (01) :219-265

[4] No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications [J].

Andersen, Torben G. ;

Bollerslev, Tim ;

Dobrev, Dobrislav .

JOURNAL OF ECONOMETRICS, 2007, 138 (01) :125-180

[5] CONTINUOUS-TIME MODELS, REALIZED VOLATILITIES, AND TESTABLE DISTRIBUTIONAL IMPLICATIONS FOR DAILY STOCK RETURNS [J].

Andersen, Torben G. ;

Bollerslev, Tim ;

Frederiksen, Per ;

Nielsen, Morten Orregaard .

JOURNAL OF APPLIED ECONOMETRICS, 2010, 25 (02) :233-261

[6] Econometric analysis of realized volatility and its use in estimating stochastic volatility models [J].

Barndorff-Nielsen, OE ;

Shephard, N .

JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY, 2002, 64 :253-280

[7]

Barndorff-Nielsen OleE., 2006, Journal of financial Econometrics, V4, p1. 1, DOI DOI 10.1093/JJFINEC/NBI022

[8]

BarndorffNielsen O. E., 2004, Journal of Financial Econometrics, V2, P1, DOI DOI 10.1093/JJFINEC/NBH001

[9]

Bjursell C. J., 2010, JUMPS TRADING ACTIVI

[10] OIL VOLATILITY AND THE OPTION VALUE OF WAITING: AN ANALYSIS OF THE G-7 [J].

Bredin, Don ;

Elder, John ;

Fountas, Stilianos .

JOURNAL OF FUTURES MARKETS, 2011, 31 (07) :679-702

← 1 2 3 →