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The Impact of Macroeconomic News Surprises and Uncertainty of Major Economies on Returns and Volatility of Oil Futures

Author

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  • Walid Bahloul

    (Governance, Finance and Accounting Laboratory, Faculty of Business and Economics, University of Sfax, Sfax, Tunisia)

  • Rangan Gupta

    (Department of Economics, University of Pretoria, Pretoria, South Africa)

Abstract

Unlike the literature on macroeconomic news surprises and oil markets, which concentrates on spot prices and US news primarily, we analyze the impact of macroeconomic news surprises of Canada, Euro area, Japan, and UK (besides the US) on returns and volatility of oil futures for the West Texas Intermediate and Brent crude. We look at futures markets, since it is widely believe to predict the spot market movements. In addition, we also analyze possibility of asymmetric impact due to good and bad macroeconomic news surprises, as well as, the role of economic uncertainty of these economies in affecting the oil futures markets movements. We can draw two major conclusions: (a) Macroeconomic surprises, as well as uncertainties, of other economies (over and above that of the US) are 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.

Suggested Citation

  • Walid Bahloul & Rangan Gupta, 2017. "The Impact of Macroeconomic News Surprises and Uncertainty of Major Economies on Returns and Volatility of Oil Futures," Working Papers 201715, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:201715
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    More about this item

    Keywords

    Macroeconomic news surprises; Uncertainty; Oil Futures; Returns and Volatility;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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