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

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