Jumps in Oil Prices: The Role of Economic News
32 Pages Posted: 23 Aug 2012 Last revised: 10 Feb 2018
Date Written: December 26, 2012
Previous research has been unable to identify a strong link between oil prices and economic news. We reexamine this relationship using high frequency intraday data and relatively new methodology that we use to estimate jumps in oil prices. We find a surprisingly strong relation between high frequency jumps in oil prices and the arrival of new economic information, with the largest jumps in oil prices 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 they suggest that economic news, rather than speculation unrelated to the economic environment, drives jumps in oil prices.
Keywords: oil, jumps, macroeconomic announcements
JEL Classification: G14, G17, C22
Suggested Citation: Suggested Citation