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OPEC news announcements: Effects on oil price expectation and volatility

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  • Schmidbauer, Harald
  • Rösch, Angi
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    Abstract

    Several times a year, OPEC hosts conferences among its members to agree on further oil production policies. Prior to OPEC conferences, there is usually rampant speculation about which decision concerning world oil production levels (no change, increase, or cut) will be announced. The purpose of our investigation is to assess the impact of OPEC announcements on expectation and volatility of daily oil price changes (returns).

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    File URL: http://www.sciencedirect.com/science/article/pii/S0140988312000072
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    Bibliographic Info

    Article provided by Elsevier in its journal Energy Economics.

    Volume (Year): 34 (2012)
    Issue (Month): 5 ()
    Pages: 1656-1663

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    Handle: RePEc:eee:eneeco:v:34:y:2012:i:5:p:1656-1663

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    Web page: http://www.elsevier.com/locate/eneco

    Related research

    Keywords: Crude oil price volatility; GARCH; Covariates; Modified dummy variables; OPEC announcements; WTI crude oil;

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    References

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    1. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    3. Loderer, Claudio, 1985. " A Test of the OPEC Cartel Hypothesis: 1974-1983," Journal of Finance, American Finance Association, vol. 40(3), pages 991-1006, July.
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    5. Robert K. Kaufmann, Stephane Dees, Pavlos Karadeloglou and Marcelo Sanchez, 2004. "Does OPEC Matter? An Econometric Analysis of Oil Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4), pages 67-90.
    6. Franz Wirl and Azra Kujundzic, 2004. "The Impact of OPEC Conference Outcomes on World Oil Prices 1984-2001," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1), pages 45-62.
    7. Lin, Sharon Xiaowen & Tamvakis, Michael, 2010. "OPEC announcements and their effects on crude oil prices," Energy Policy, Elsevier, vol. 38(2), pages 1010-1016, February.
    8. James L. Smith, 2003. "Inscrutable OPEC? Behavioral Tests of the Cartel Hypothesis," Working Papers 0305, Massachusetts Institute of Technology, Center for Energy and Environmental Policy Research.
    9. Stephen M. Horan, Jeffrey H. Peterson, and James Mahar, 2004. "Implied Volatility of Oil Futures Options Surrounding OPEC Meetings," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 103-126.
    10. OPEC Secretariat, 2003. "OPEC production agreements: a detailed listing," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 27(1), pages 65-77, 03.
    11. Giliola Frey & Matteo Manera & Anil Markandya & Elisa Scarpa, 2009. "Econometric Models for Oil Price Forecasting: A Critical Survey," CESifo Forum, Ifo Institute for Economic Research at the University of Munich, vol. 10(1), pages 29-44, 04.
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    Cited by:
    1. Mensi, Walid & Hammoudeh, Shawkat & Yoon, Seong-Min, 2014. "How do OPEC news and structural breaks impact returns and volatility in crude oil markets? Further evidence from a long memory process," Energy Economics, Elsevier, vol. 42(C), pages 343-354.
    2. Walid Mensi & Shawkat Hammoudeh & Duc Khuong Nguyen & Seong-Min Yoon, 2014. "Dynamic spillovers among major energy and cereal commodity prices," Working Papers 2014-160, Department of Research, Ipag Business School.

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