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OPEC production decisions, macroeconomic news, and volatility in the Canadian currency and oil markets

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  • Ayadi, Mohamed A.
  • Ben Omrane, Walid
  • Lazrak, Skander
  • Yan, Xusheng

Abstract

We examine the simultaneous effect of OPEC production decisions and press releases, oil and gasoline inventory surprises, as well as US and Canadian macroeconomic news announcements on oil and Canadian dollar volatilities around US and European financial crises. We use a multivariate volatility model and implement an impulse response analysis to decompose the exogenous impacts into direct and indirect effects induced by volatility spillover. We find evidence of context-specific impacts and show that 67% of the total accumulated effect of OPEC decision to maintain production on oil volatility is induced by volatility spillover from the Canadian foreign exchange rate.

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  • Ayadi, Mohamed A. & Ben Omrane, Walid & Lazrak, Skander & Yan, Xusheng, 2020. "OPEC production decisions, macroeconomic news, and volatility in the Canadian currency and oil markets," Finance Research Letters, Elsevier, vol. 37(C).
    • Handle: RePEc:eee:finlet:v:37:y:2020:i:c:s1544612319310621
    DOI: 10.1016/j.frl.2019.101366
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    Cited by:

    1. Sheng, Xin & Gupta, Rangan & Salisu, Afees A. & Bouri, Elie, 2022. "OPEC News and Exchange Rate Forecasting Using Dynamic Bayesian Learning," Finance Research Letters, Elsevier, vol. 45(C).
    2. Alomran, Abdulaziz Ahmed & Alsubaiei, Bader Jawid, 2022. "Oil price uncertainty and corporate cash holdings: Global evidence," International Review of Financial Analysis, Elsevier, vol. 81(C).
    3. Bouzgarrou, Houssam & Ftiti, Zied & Louhichi, Waël & Yousfi, Mohamed, 2023. "What can we learn about the market reaction to macroeconomic surprise? Evidence from the COVID-19 crisis," Research in International Business and Finance, Elsevier, vol. 64(C).

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    More about this item

    Keywords

    WTI crude oil; Canadian dollar; OPEC; Macroeconomic news; Financial crisis;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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