IAEE Members and subscribers to The Energy Journal: Please log in to access the full text article or receive discounted pricing for this article.

Jumps in Oil Prices: The Role of Economic News

Previous research has been unable to identify a strong link between crude oil prices and economic news. We reexamine this relationship using high frequency intraday data and relatively new methodology to estimate jumps in oil prices. We find a surprisingly strong correspondence between high frequency jumps in oil prices and the arrival of new economic information, with the largest jumps 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 also suggest that economic news, rather than speculation unrelated to the economic environment, drives jumps in oil prices.

Purchase ( $25 )

Energy Specializations: Petroleum – Markets and Prices for Crude Oil and Products; Petroleum – Policy and Regulation; Energy Investment and Finance – Corporate Strategy; Energy Modeling – Energy Data, Modeling, and Policy Analysis

JEL Codes: Q31: Nonrenewable Resources and Conservation: Demand and Supply; Prices, G14: Information and Market Efficiency; Event Studies; Insider Trading, Q41: Energy: Demand and Supply; Prices, Q35: Hydrocarbon Resources, Q43: Energy and the Macroeconomy

Keywords: Oil, Jumps, Macroeconomic news announcements

DOI: 10.5547/01956574.34.3.10

References: Reference information is available for this article. Join IAEE, log in, or purchase the article to view reference data.

Published in Volume 34, Number 3 of the bi-monthly journal of the IAEE's Energy Economics Education Foundation.


© 2023 International Association for Energy Economics | Privacy Policy | Return Policy