Jumps in Oil Prices: The Role of Economic News

32 Pages Posted: 23 Aug 2012 Last revised: 10 Feb 2018

See all articles by John Elder

John Elder

Colorado State University

Hong Miao

Colorado State University, Fort Collins - Department of Finance & Real Estate

Sanjay Ramchander

Colorado State University, Fort Collins - Department of Finance & Real Estate

Date Written: December 26, 2012

Abstract

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

Elder, John and Miao, Hong and Ramchander, Sanjay, Jumps in Oil Prices: The Role of Economic News (December 26, 2012). Energy Journal, 34, 2013., Available at SSRN: https://ssrn.com/abstract=2134454 or http://dx.doi.org/10.2139/ssrn.2134454

John Elder (Contact Author)

Colorado State University ( email )

Dept of Finance & Real Estate
1272 Campus Delivery
Fort Collins, CO 80523
United States
970-491-2952 (Phone)

HOME PAGE: http://lamar.colostate.edu/~jelder

Hong Miao

Colorado State University, Fort Collins - Department of Finance & Real Estate ( email )

Fort Collins, CO 80523
United States

Sanjay Ramchander

Colorado State University, Fort Collins - Department of Finance & Real Estate ( email )

Fort Collins, CO 80523
United States
970-491-6681 (Phone)

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