Dynamic impact of the U.S. monetary policy on oil market returns and volatility
| Autor: | Hardik A. Marfatia, Rangan Gupta, Esin Cakan |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
Economics and Econometrics
050208 finance Oil market Realized variance West Texas Intermediate media_common.quotation_subject 05 social sciences Monetary policy Monetary economics Surprise 0502 economics and business Economics 050207 economics Volatility (finance) Futures contract Oil futures Finance media_common |
| Zdroj: | The Quarterly Review of Economics and Finance. 80:159-169 |
| ISSN: | 1062-9769 |
| DOI: | 10.1016/j.qref.2021.02.002 |
| Popis: | In this paper, we assess the dynamic impact of the U.S. monetary policy announcements on oil market futures returns and volatility. We use intra-day data for West Texas Intermediate (WTI) oil futures together with a time-varying modeling approach to study the nature of this dynamic impact. In addition, we also control for macroeconomic news shocks and separately study the response of good and bad realized volatility. Evidence suggests that there is a significant time variation in the response of oil returns, as well as its volatility to the Federal Reserve policy announcements. Broadly, we also find that higher (lower) uncertainty about Federal Reserve policy actions is associated with a weaker (stronger) impact of the surprise policy announcements on oil returns and volatility. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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